While there are some intestinal parasites that are passed on before birth/hatching, coccidia is not one of them. Infection is the result of eating the egg form of the parasite (the ova). This can happen very shortly after birth with exposure to feces from other animals that are shedding eggs in their stool.
http://www.merckvetmanual.com/mvm/index.jsp?cfile=htm/bc/21200.htm
http://www.merckvetmanual.com/mvm/index.jsp?cfile=htm/bc/21200.htm