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I thought that too. OP said they found the nesting spot behind the gate and I assumed they'd have mentioned if she was on eggs?

She's decided that sleeping rough is better/safer than sleeping in your coop for some reason. If you don't have many predators around or aren't worried about it, then no, she isn't sick or anything. You can let her be. If you'd like her to stop sleeping outside, it might work to shut her up...