I saw a gardening show once where a dove had made a nest in a hanging planter that had spanish moss in it, if you have a sheltered spot you could try it............? They seem to like darker-medium toned colors to blend with, so if you do it don't use white!
Definitely illegal to capture or enclose a wild dove. If she comes and goes at will, you can still give her shelter, but they mostly like not being enclosed.
Good luck! They are beautiful, you may get lucky and have one take up residence in your yard, especially if you put out some dove seed.