First get it diagnosed, Sometimes burning is due to abcess formation also Get it accessed first

Yes it related to bone . Tk soft pillow for sitting. Avoid flat surface. Ultrasonic therapy and laser therapy for few days.

its because of the inflammation of the coccyxwhich occurs after frequent damage to the coccyx after a fall or touch of the coccyx on hard surfaces, called as coccydaemia.

1.Ice packs 2.Ultrasonic therapy 3.Cross over exercises 4.Half squatting with wall support 5.Stretching of front and back thigh muscles 4.Knee to chest

Ensure that you maintain an appropriate posture while working or sitting or walking....Take frequent stretch breaks and drink lots of water...Discontinue using pillow while sleeping straight...Do not lift heavy objects, especially after bending down....Eat a healthy wholesome meal which should satisfy your minerals and proteins requirement...take over the counter pain medications.. Consult nearest orthopedic surgeon they will do the needful.