My main coop had eggs that broke just looking at them, but they all had oyster shell available. Someone told me to put it in their food. Made a difference. The best thing is the shell "powder" that gets in the food....
I would slather on some thick creamy cream like Corona, or even Vaseline, and hopefully you can put something on her that she don't like the taste of. And check her for bugs
I think the most you can do at this point is keep her warm and get her to drink and eat some wet chick mash. It's hard to save sick chicks. She may have been stressed in shipping. I don't know what the cut is.
Those are lice. Go to home depot and get Sevin powder for dusting tomatoes, and dust your chickens. Or you can use Poultry Dust from a feed store. You should dust the chickens every 3-4 months.