Sorry to hear that happened. You have two choices - neither without a price or risk...
 
You can leave the other egg with her and see if she does the same thing - if she doesn't, then maybe there was something wrong with the first chick or an accident. If she does, then you've learned this is probably not a hen you want to use as a broody, especially with expensive or rare eggs. Mixed breeds maybe if you want to give her another chance.
 
Or you can bring the other egg inside to hatch in an incubator, prevent any issues with the hen, but then not know the answer to your questions about why it happened, or if your hen is trustworthy.
 
Good luck with whatever way you choose. If it were me, I would probably go with #1 so I could learn about the hen - something I would want to know long-term and imo worth the risk of the other chick to find out.