Have you been taking hormone replacement therapy? It's a common cause of female incontinence; if so, discuss it with your doctor.
A condition of the coccyx is unlikely to cause incontinence. Slide your middle finger down the buttock crease; is it very tender just before the anus? Then you may be suffering from coccydynia too, but unlikely to be the cause of your urine leakage.
The buttocks are supplied in part by the superior cluneal nerves, and the front of the thigh by the femoral nerve. That could be the cause of your numbness and tingling, but again probably unrelated to your bladder.
There are 9 large deep pelvic muscles that control inter alia the bladder; type Kegel exercises into the search function in the navigation bar at Chiropractic Help. Done daily they may help; good for every woman to do in any case.
Only a careful and thorough examination of your pelvis and lumbar spine can determine what's what in the zoo. Perhaps your local chiropractor should be your next port of call.
I hope this contributes to your coccyx pain or something else question.
Dr Barrie Lewis