Tri County coal in Carmel NY... just up Rt 7 and west on I84 might be the closest. Not sure how far they deliver. I got 3 tons from them in December in bags and I am finding burning coal is easy and I love the price. This is my first year so if I can do it you sure can.
You know that big blue power station in the harbor used to burn coal when I was a kid growing up in Norwalk. Also try Rings End in Darien they might know where to get some close by.
Tri County won't deliver to me (seems nuts, I'm an hour away), but I definitely could tell the old lady that works there would not be fun to deal with if you got on her wrong side. She wanted to ditch me ASAP.
I have a ranch with a walkout basement. It is very handy to just walk outside with the ashes and bring in coal by bucket. I had a Leisure Line Hearth model stove in the basement and heated the basement to a toast 80 degrees F and the upstairs was 70-72 in winter. The upstairs is 2250 square feet. I saw a 10 degree difference from downstairs to upstairs. I don't think it needed to be that warm upstairs but wife liked it warm. I was burning 5-6 tons a year during the heating season plus oil for hot water and a little heat in early fall or late spring when not burning coal. My stoker fan was fairly loud in the basement; I would not want to be sitting next to it watching TV but I was over-heating the basement trying to heat the upstairs. If the stove was upstairs in the living room it would be running at far lower heat output and therefore quieter. Once the living space is up to temp it would only be maintaining. I have since installed a Leisure Line boiler and have cut my coal usage by at least 25% while adding DHT and no oil usage. Have you considered installing or adding a coal boiler? I'm not overheating the basement anymore. For coal deliveries try Beacon Pellet in Beacon Falls.