A great way to understand the relationship between the terms is to consider the difference between a single photon, and the beam of many photons that comes out of a laser. The single photon, prepared identically every time, is as pure a pure state as you can get. The laser puts out photons that are all the same frequency and polarization, and so that also sounds like a pure state. But what is different is when you start considering how many there are.
Coming out of the laser, there are of course many, many photons. In a $1\,mW$ green laser you would have (power/(hc/wavelength)) $2.7*10^{15}$ photons per second on average. It is key to understand here that I am not just saying on average because the value is imprecise. I am saying on average because the ensemble of photons coming out of the laser is a coherent state that is defined by a Poisson distribution, which simply says that a given photon is equally likely to arrive at any time (the arrival times are independent and random). When you consider many photons, the Poisson distributions tells you how likely it is in any time interval to get say 1 photon, 2 photons, ... 100 photons, etc.
So how can you get a single photon out of a laser beam? One way to try would be to open a shutter for a very short time. You would adjust the amount of time the shutter is open for to let on average just one photon through. Most of the time you do this you will get just one photon. But because the photon arrival times are independent and random, sometimes you will get zero photons, and sometimes you will get two photons. Sometimes you might even get 3, 4, or 5, ... but it gets less and less likely.
Another way to try to get a single photon out of a laser beam would be to put filters in the path of the beam that dim the beam so much, that at the end you can observe the photons as single clicks on a sensitive photodiode. But you can't observe the photons and still use them, so you can't just wait until you see a click. You have to do the same thing as above, where you adjust how many filters you use so that you get one photon on average in a specific time interval. But now you are stuck again with a state that usually has 1 photon, but sometimes has 0, and sometimes 2,3,4,5 (with decreasing probability).
So the coherent state is NOT the same as having access to many repetitions of single photons. To get single photons you would need a different sort of machine, perhaps the decay from a single excited atom, or perhaps take your laser and put it through parametric down-conversion so that you can herald the generation of a single photon and know that you have exactly 1 (and not 0 or 2,3,4,5...)
So that is the distinction between a pure state and a coherent state. The coherent state is a type pure state with particular statistics for photon number (or as you mentioned, for particular occupation level in a harmonic oscillator).
But what is the relationship between a coherent state and coherence? Well, what is of note is how the laser gave us the coherent state. In the case of the laser, coherence refers to the fact that we can measure the phase of the electric field of the beam at some point, and then predict reasonably well what that phase will be measured at either a distant point or a later time. The longer that phase relationship holds, the higher the coherence. The phase would be quite well predictable if all the photons had exactly the same frequency. In a laser this is nearly true, and the extent to which it is not true is expressed as the 'linewidth' of the laser. For white light, the frequencies of the photons are all different, and so there is no predictable phase relationship for the beam, which is why white light is 'incoherent'.
Now consider how you might get a single photon out of a white light beam. If it is truly, truly incoherent, then every photon will have a different frequency (they can be arbitrarily close, but there are also arbitrarily many possible frequencies), so I can make a filter that only lets through a certain very specific color of light. As this filter gets infinitely narrow (in terms of the frequencies or colors of light it allows through), I will have to wait longer to get one photon, but I can make the filter infinitely narrow and wait infinitely long and get one photon with certainty. We could not do this with the coherent beam.
You might ask, well what if you used this infinitely narrow filter trick on the laser beam? In so far as the laser has a finite linewidth, this will work, but that is also a measure of the fact that the laser beam is not perfectly coherent. If the ensemble of photons put out by the laser was perfectly coherent, they would all have the same frequency, and the linewidth would be infinitely narrow, and no matter how narrow you make the filter you will still get all the photons through.
So it is precisely the property of coherence that gives us a coherent state, and vice-versa.
Another way to discuss the relationship between the laser beam and the single photon is to consider what the "wavepacket" looks like. For the coherent beam, it is a sine-wave that goes on forever, and in fact there is so much amplitude that it is basically a classical wave where the quantization into individual photons matters not at all. As you make a laser pulse shorter and shorter and shorter, eventually you end up with a single photon which still has an electric field oscillating at the same frequency, but with a very short envelope. A little knowledge of Fourier transforms tells us that a shorter pulse in time must have a broader spectrum in frequency. So there's no way the single photon can be the same as a coherent state, because it inherently has some linewidth due to its finite time span. A photon is a 'minimum uncertainty wavepacket' and so it has the least possible frequency spread of any wave that has this duration, so it can have some 'coherence', but a single photon (if we know there is for certain one and only one of them) cannot be a 'coherent state'.
Again, I'll restate my conclusion from above: It is precisely the property of coherence that gives us a coherent state, and vice-versa.