She MAY have done, it does happen occasionally. Just check on her when you can. Make sure she has food she can reach from the nest, and water. She should eat from there instead of going for the eggs. It may just be that she has caught it with a claw on the nest, or scraped it with her beak tucking it in. The shells are very brittle at this stage, to make it easy for the chick, and so are very easily damaged. When ever you get a chance to get near it, dab some warm water on the spot with missing shell and be sure your broody has a flat pan of water to dip her belly into, this will help all the eggs, and she will do it if you put it near her.
