What Causes Swelling In The Tailbone After Receiving A Cortisone Shot?

I had a cortisone shot about three weeks ago. I learned later that he went in back of my tail bone. He wasn t secure with the injection so went back got a new needle and half a dose of what he previously injected, and added it to the same area. After a few days the site was hot and somewhat swollen, not to mention tender. So tender I couldn t sit or lay on my back without excruciating pain. After two weeks an FNP friend spoke to me and advised me to return to my doctors office for another injection, stating it shouldn t take two weeks for it to start working. This past Wednesday I went in with the pain elevated to a #9. The doctor tried another this time in the born, he said the last time he gave the shots behind the tail bone. I thought this odd but I m not the one with a medical background. Today the site has a small hole about the size of a grain of rice. About 1/16 and can be stretched larger. It s draining a clear slightly pink fluid since yesterday. I was thinking possibly this might be cortisone finding a way out? I really like my doctor. However, should I be alarmed, and what other course of action might I take in the future instead of cortisone shots?