I keep mine in a personal space of her own. They love the peace and quiet, and not having to worry about the others bothering them. I also keep food and water near them as you are. It sounds like you are in the same predicament as I was with my first broody one. We did make a fenced in area on the floor for her. She was in a bottom nesting box, so we made a fenced in area to her.
My first broody was 2 not one...One hen went broody and then her sister went broody and they nested side by side and constantly switched the eggs between nests and such. I just left them on the floor of the coop, but something was maybe stealing their eggs. Or eating the chick's as they hatched Because in 3 weeks they were still setting broken egg shells everywhere and no chicks. As it got closer to the 3 week mark you could hear peeping, but no chicks...so I gave them each a new set of 8 eggs a piece just like the first time. This time between the 2 of them setting 16 eggs 2 chick's hatched. Within hours that 2 became one...and those 2 hens cobrooded that one click and it ended up being an orange EE x BO hen. I sold the one sister and the single chick in the fall, and kept the other sister. And that hen is my woods broody. She did way better not in the coop, with no help or checking. Hatched 15 eggs and they were everyone hers, so she couldn't have had too many eggs she was setting because she didn't lay in the coop for about 2 weeks before she disappeared. So I knew what was up. An egg a day for 14 days and she came down with 15 chick's all from her own eggs. So she hatched as many as she set or really close to it. I know they were all her chick's because she is my only bantam and all the chicks were tiny. So...I'm not sure what I'm saying here other than brooding in the floor of a coop ends with worse results than setting in the woods with no protection from anything. After that first fiasco with 32 eggs and 8 weeks of setting ending in one live chicken I was never going to let another hen go broody and set eggs. Luckily woods broody decided she was going to do it anyway and restored my faith in broody hens. Lol.
My broody is on the floor of my coop but the coop is small, off the ground, and completely predator proof and gets locked at night. So im hoping she will be okay! She shares with the babies so they are in a maternity ward/nursery lol. It's the best I can do without compromising her safety or comfort. I could put her in a dog crate in the goat house(because it is connected to the chicken run) but I think being locked up would stress her out. And the goats would bother her. When it gets closer I'll fence off the area around her and the coop