Going back to the original question, I had this with one of my budgies last week when she decided that one of her toys would make a great nest. I sought advice as she is still a baby and I didn't want her breeding until next year. I was told to remove anything that could possibly be used as a nesting box as that would take her mind off things.

Unfortunately, a couple of days after I did this, a broken egg appeared on the floor of the cage. However, the bird in question seems a lot happier and calmer now.

So I think the answer is don't worry. They are built to produce eggs after all and so should be ok. Just keep an eye on her.