If diamonds and coal are both made of carbon, what's the real difference? Diamonds most likely form deep in the Earth's mantle. This is the region of the Earth between the crust and the core.
Over time diamonds were carried from the mantle to the Earth's crust where we mine them today. While in the mantle, diamonds using a type of carbon called graphite. Coal is formed much closer to the Earth's surface, within the Earth's crust. It forms from organic material. You could form a diamond by pressurizing coal but it would be very impure and different from the standard diamond we typically envision.
So if you're looking to propose to someone and looking for a cheap way out, I suppose you could pressurize some cheap coal, but it's probably not going to turn out the way you or your fiancee want it to! :-)