I started using coragated cardboard boxes with duct tape,with hole in middle lil bigger than largest pigeon.
Pine needles work best I've tried and pine shavings next (too fluffy flakes can stick to eyes mouth etc), box being size of or double size of large dog bowl which can be put inside or not but just gives you get somewhere to start perching inside (if size of one large dog bowl for standard size pigeons, use two boxes per hen if want best breeding results especially if "open loft"/mixed breeding). Layer pellets (non medicated, natural if can get) working best to grow large fat fast young, n keep adults in condition. I've been trying to find coragated plastic cheap in bulk, as seen people use many years ago for small animals (in vet terms basically small Mammals up to dogs most common), and I think aside from possibly holding too much heat n humidity inside, it'll work wonders for keeping out cold n wetness from outside. I've left pigeons on flimsy stick nests in below zero weather monitoring hatchlings that do fine when parents are provided enough food n water at worst times easily digested (I give chickens warm water in winter, but never pigeons as it messes them up somehow), and heat when given made weak and sickly, but bathing allowed when access to outside sunshine for few hours after even in winter (when water wouldn't be frozen naturally on surface of running water even) does wonders when they then can get out of wet windy area (something I do not do enough honestly though).