Hi,Dear Thanks for the query to HCM virtual Clinic.
I studied your query with available details given in your query.
I understood your health concerns.
 Cause for  the lump/painless-
For the right treatment right diagnosis of the cause of the lump on the coccyx-needs to be done.
Cause of lump -It very difficult to comment on the cause of the lump on the coccyx as the data is insufficient. Following possibilities could be ruled out with help from your doctor-
DERMOID CYST/Epidermoid Cyst/Sebaceous Cyst /Lipoma/or Normal Coccyx.
From the facts told by you, possibility of it being Normal Coccyx is more, as you feel another smaller one deep down.As the Normal Coccyx is a piece which turns and ends in to tip of the coccyx,so second smaller one could be coccyxial tip and not the lump.
This possibility is more in your case as you are slim.Hence Don't worry.Its not cancerous .
As I don't have the photograph of the lump or more first hand information ,I would suggest to have 
Second Opinion to rule out other causes of the such a lump on the coccyx.
Still if worried I would advise you to consult your doctor, who would fix the confusion and worry with it.
This would help you to plan treatment with your doctor, whom you should plan your visit urgently , before it complicates any more.
Don't Self-treat or medicate in your case as the case may go in to further complications.
Hope this reply would resolve your query and would help you to plan treatment with your doctor.
Hope this would relieve of your health concerns.
Welcome for any further query in this regard before final suggestions are given in your query.
Wishing you fast recovery..
Have a good day.
Dr.Savaskar M.N.
Senior Surgical Specialist.