Ok, so no panic, I have seen lots of funky things and that is no worse. Early eggs can be all sorts of off and odd.
Is that the color of her breed's eggs? (When she does lay is this what they will look like?)
You could give her an internal exam... You wash your hand super well, find something as a lubricant and then slowly insert. It is a lot like a pap test (assuming you have had the experience) You are just looking to see pieces of shell or when you pull out, any yolk on your hand.
Note that this SOUNDS well worst than it is. I didn't think I could, then when I had one suffering I gathered my courage and did it. It was not so bad, kind of like the skin inside your mouth.
*****Alternative******
Check out her rear, you are looking for blood or yolk.
Do any of your hens have a dirty beak? Or tiny flecks of dried yellow in their feathers? If she (or anyone) dropped a shell less egg, they would likely have seen it and eaten it. If the egg broke inside her, that can be problematic for infection.