The reference to "The Naughty List" makes it clear why coal was chosen: Santa Claus has been believed to make a list of children throughout the world, categorizing them according to their behavior ("naughty" or "nice") and to deliver presents, including toys, and candy to all of the well-behaved children in the world, and sometimes coal to the naughty children, on the single night of Christmas Eve. [1]
My first thought was obviously that of Santa Claus, and leaving coal in the stockings of naughty children. However the commentary here and the text on the website lead me to think it was perhaps referring to something more localised to America or its politics.
