They don’t do it on purpose, it happens if the egg is too large to pass through or if the shell isn’t tough enough so they can’t lay. They don’t try and hold it and if they want to lay it makes no difference if they have a nest or not. I’ve had eggs laid on my shoulder twice, one of my cockatiels just drops an egg wherever she’s stood, my other lays on the floor, on a shelf, I find eggs everywhere.
Leave her and watch her
