If memory serves right 牢獄 just means dungeon or prison, so a more literal translation would be "Coccyx Dungeon" or "Coccyx Jail." A lot of games have dungeons right? Depending on the game though calling a level "jail" or "dungeon" might seem odd, so here instead of saying dungeon, they called that stage of the game, the level, a "phase." Like if the game is set in modern times, calling a level a "dungeon" or "jail" might seem weird.
Phase, stage, level, dungeon, all are words that can indicate some specific section of a game. "Phase" was probably just the word the translator felt fit best with that specific game and that level. Not sure what game this is though so lacking context its hard to say 100%.
Incidentally I'm an electrical engineer/translator, so video game translation is out of my skillset, but I did do some part-time a native-checker work for a video game company in Tokyo two years ago. Saw stuff like this sometimes.
Does 牢獄 have a second meaning?
I have been doing some translating recently, where I was translating ビコツ牢獄 and comparing it with the English version. The first part, ビコツ, translated perfectly (coccyx). The second translation, 牢獄, however, did not match up with the English word, which was “phase”. In the context, the “coccyx phase” is a video game level where you need to try and sneak past enemies to reach the goal. Is there any other meaning that would fit the English title?