I actually have two lumps as of what you described on my tailbone as well. They are no where else. They're filled with a clear liquid right and even when it looks like they're finally going away, they come right back?
I have on ovarian cyst. I read somewhere that sometimes when a woman has this, she can develop lumps on on her body around the genitals or anywhere below the belt.
I'm not saying this is what you have, but it's something to check with your doctor.