Hello Tkholmes,
What you are experiencing is obviously not right. Yes, it is possible that you have an infection, or?
Tkhomes, PLEASE call your doctor first thing on Monday morning and talk with him/her that day about what is wrong. Also make an appointment as soon as they can work you in.
I just had an injection through my tailbone. Man, when I realized where my doc was going to stick that needle I felt very uneasy. Actually, there was less pain than my first epidural which he injected through my back in April. At this point the "tailbone" injection is definitely helping. I will certainly keep in mind as time progresses if I find I am getting the pain you have described.
Again, PLEASE don't delay, call your doc and speak with him/her on Monday.
Will be thinking of you. Do let me know how things go.
RichT