Pain originating in the lower back and coccyx (tailbone) could be from multiple sources. Even though the sacroiliac joint is an unlikely origin, you have had that rules out by your SI injection.
Coccxy pain can sometimes radiate up to the lower back and visa versa. Coccydynia type pain originates in the torn or irritable ligments joining the coccyx to the sacrum. An injection here can be helpful. Sitting on a donut until the inflammation subsides can be occasionally effective. There are rare cases that surgical removal of the coccxy is indicated. I have done that only one time in my career.
Discal pain from L5-S1 can occasionally radiate to the coccxy. An epidural steroid injection at L5-S1 that temporarily eliminates the coccxy pain can be an indicator of the presence of this condition.
Finally, peroneal neuropathy can also cause this disorder.
Dr. Corenman
Donald Corenman, MD, DC is a highly-regarded spine surgeon, considered an expert in the area of neck and back pain. Trained as both a Medical Doctor and Doctor of Chiropractic, Dr. Corenman earned academic appointments as Clinical Assistant Professor and Assistant Professor of Orthopaedic Surgery at the University of Colorado Health Sciences Center, and his research on spine surgery and rehabilitation has resulted in the publication of multiple peer-reviewed articles and two books.