I have serious coccyx problem. Exercising helps a bit but not 100%.what should I try? Acupuncture? Osteopathy? Manual therapy wasn't enough.

Ouch. You have already received excellent input from two specialists. Acupuncture can also be used to assist with pain & inflammation.
Time. Most patients with coccyx issues respond well with nsaids, pelvic floor strengthening therapy, and injections....But the most important aspect is time. The symptoms take months to respond. I disagree with the statement that surgery doesn't work, since I have had great results with appropriately selected patients (but is a very rare procedure to do).
Try everything. Coccyx pain is one of the most difficult areas of orthopaedics to treat. Surgery does not work!. I woudl recommend a doughnut seat cushion, NSAID type drugs pt, and maybe injections.