hen stays in nest all day.

I have been given two hens, cage and all from where I work.
When we brought them and settled them in my space the honey colored hen is just busy like she should be, but the salt and pepper hen just wants to be on the nest all the time. If a egg is layed it is pushed out of the nest. I have seen her down afew times.
Could it be that she is cold? I live in the pacific NW and we are getting alittle colder.
These hen were in a nursery in a greenhouse undercover with no heat on but protected from the rain etc. Now with me they are out doors. I have put them in an area that is protected from the south wind and have but an unbrella over the coop so the rain does not get the coop wet. Could someone help me understand why she is like this?