Thanks for the advise. I had no idea the instinct to "nest sit" would be so strong. She is full blown broody now and refuses to get up and leave the coop. I have to steal the eggs she has stolen every morning. I think I will have to build a "broody breaker" cage. It is so sad to watch her be so diligent and to no good end.That depends on the hen. Some will give up after a few days if you keep taking eggs, some will continue sitting on this air and steal whatever eggs they can find. If you give her eggs to sit on, she'll stay put and I have seen really determined broodies sitting on infertile eggs for up to 3 months. It really is better for the hen if you can break her broodiness asap, unless you want her to hatch some eggs for you. Keep taking the eggs away for a few days and see if that helps, if not, put her in a wire bottomed cage with only food and water, no nesting materials, until she snaps out of it. This method takes on average 3 days to work.
Broodiness and hatching chicks is all about hormones and instinct for hens. I wouldn't say for sure they know what to expect when they sit on the eggs, especially first time broodies. I remember my first ever broody mom, when her first chick hatched, she flew off that nest like a jet fighter. I had to go pull her out of a tree and return her to the eggs and the poor chick, who was thankfully unharmed. She turned out to be a wonderful mother, but that first birth experience scared the hay out of her.