I was having some complex thinking on why Krampus drops the Lump of Coal. I mean sure, it could be Santa in his santonic form where he's the one to give bad little boys and girls Lumps of Coal in their stockings, but there also could be a deeper meaning. Well, first the characteristics of Krampus, before any speculation can rise.
Krampus seems to be The Fallen with a mask on. He, however, does not act like The Fallen. The Fallen charges at you and will stop to do a 4-way Brimstone like attack. Krampus does the same thing minus the charging. He shoots like The Fallen does as well, with 3 shots at first, followed quickly by 4 shots. Krampus does not split off like The Fallen at half health and at the end if his raid in the Devil Room, he proceeds to drop the Lump of Coal.
Why is Krampus in the Devil Room?
Even though he looks like The Fallen, and has very similar attacks, why is the mask white? White is usually symbolized by the goodness somebody has, or the innocence someone has inside of them. If Krampus signifies good or innocence, why is he in the Devil Room in the first place? Maybe it's Mom herself, in her natural soul form. It makes sense, because she could've accidentally sold her soul away to the Devil and the only way to cleanse her is to kill Isaac in the first place. That's probably also why she heard voices from God and not anybody else for that fact of herself needing cleansing from the Lord himself. She still had innocence inside of her, and that, in my opinion, is why Krampus might sport the White Mask and not a different colored mask. Or maybe just to tell The Fallen and Krampus apart from each other. But why, why, does Krampus drop the Lump of Coal?
Theory of Krampus dropping the Lump of Coal
Dropping the Lump of Coal may just be a way of saying Isaac was a bad kid. But how would Krampus know such a thing? Building off that Mom's soul is Krampus, she would know that Isaac was bad. And the beginning cutscene even proves that Isaac was a bad kid. "His soul is corrupted by sin and must be saved" shows that in Mother's eyes, he was very bad. It got to the point of trying to murder Isaac, but let's not worry about that. Krampus appears almost once per playthrough, if you can achieve all possible Devil Rooms, and he only appears once, meaning after defeat, can never appear again. Anyways, Krampus has signs and meaning for Isaac "being a bad boy" and when Mom's soul is crushed and defeated by all means possible, he drops the one thing Krampus thinks Isaac deserves, a Lump of Coal. Well, that my theory on why Krampus drops the Lump of Coal and I hope you've learned something out of this as well, albeit most is speculation, and I hope for more theory explanations soon.