Had cortisone shot into coccyx joint a month ago, pain was totallygone but now i have a numb, burning feeling all around the area. what could it be?

It is not uncommon : It is not uncommon to have the symptom you feel following such injections. Usually it resolves over few days but on occasion it can last 4 to 6 weeks or so. It is due to numbing effects of local anesthetic mixed with the cortisone. If is persists beyond 6 weeks get it checked for other causes.

nerve damage: ? Nerve damage - either from shot or more likely from the cause of the coccyx pain. Further studies (e.g., mri) needed to assure no infection or tumor.