Hard to say what happened but it is possible the broody (or someone else) picked the feather fuzz off the chick's head. Perhaps there is something wrong with the chick that you can't see?
Edited to add: I missed the comment about "spray the coop" earlier. What are you spraying for? Could the chick have been attacked by mites?
No spraying with water cuz its very hot. We spray their dirt baths when it gets very hot.
Keep us posted.. How long had it been since you had seen her?