Peahens will lay wherever there is a little depression in the ground. Last year I had a broody peahen that was laying in the corner of the coop in the woodchips. All I did for her was to put a piece of plywood over her area so she would not be disturbed by the other birds in that pen and keep the other birds roosting above her from crapping on her. I guess I also gave her breakfast in bed as she got closer to hatch day so she would not have to get off the eggs to eat, but that is a little over the top.
Some people will provide tubs of hay, but most people do not do much of anything in the way of nest boxes.
As far as a coop, if you have Blues an open loafing shed will do fine in your area, if you get Greens you should probably enclose it.