I suspect the hen does not have enough calcium. It is very difficult for a pigeon to break a healthy normal egg, they can stand on them and they won't break... the shells are very strong.
However, if the pigeons are laying thin shelled eggs they will be easy to break. Or, if the pigeons have long sharp nails.
That nest bowl is way too small. Also you don't put nesting material into the bowl for them (maybe apart from wood shavings or nest liner). Put a pile of sticks and straw in the cage and they will pick it up and make their own nest.
Even though you say you have the minerals and grit, sometimes a pigeon will not know to eat them for calcium. Try powdering some cuttlefish bone or calcium supplement over the birds feed.
Chickens layer pellets are a great addition to breeding birds diets... they have lots of calcium in them. You can mix them in with the seed.
Finally, do your birds get enough direct unfiltered sunlight every day? If they are housed indoors or only get sun through a window, they can not make enough vitamin D. They need this vitamin to use the calcium... without it they can't process the calcium.
Wishing you good luck with their nest try!!!