Bathing can cause additional stress and if she's having breathing issues already, along with the blue comb, I'd be very hesitant to do anything that might increase her breathing issues. This seems more indicative of a circulatory problem, something with the heart or respiratory tracts rather then egg bound. Check her carefully all over, see if she feels like she's lost weight. Especially see if she feels full, or bloated in her lower abdomen, what you are checking for there is ascites. Check a healthy bird first so you know if there is a difference. Also be careful with the heat lamp that you don't overheat her, I think she'd most likely be best and safest at normal room temp.
If you want to check for an egg you can put on a rubber glove with some petroleum jelly and carefully insert one finger into her vent maybe half an inch or so, don't overdo it. If there's an egg stuck you should be able to feel it.