Let's assume that nothing's cracked.
Coolant can get into the cylinders from either the intake manifold gaskets or head gaskets.
But, you have air getting into the coolant, which can happen if...
- intake gasket is bad and the supercharger is presurizing the intake allowing air to get from the intake track to the water jacket.
- or you have a blown head gasket.
A blown head gasket can often pass a compression test, because, if the leak is small, it will leak only when the fuel ignites (high pressure). You can't produce enough pressure with a compression tester - unless it's a big leak.
If you can find nothing else besides what I mentioned above causing the problem, then you have to take off the intake before taking off the heads, and you will see right there if the intake manifold gasket is the culprit.
If you have a compressor, you can pick up a leakdown tester and do a leakdown test. This will tell you if the cylinder's leaking, and, if so, where from. It still may not be enough to cause the head gasket to leak in some cases.
About which head might be leaking, you can take out one plug at a time and start it up. When the bubbles stop, that will be the cylinder that is leaking. You can try just taking off the spark plug leads one by one, but you may end up fouling a plug or two. I'd take the chance and just take off the spark plug wires and see if that tells you - because I'm a lazy bum and would do what's easiest!
I hope that helped.