That is so funny! Especially that she ran back into her room when she got caught!
I had one Buff pullet named Nugget and if I left the doors and windows open on hot days she would come in the back door and wander through the house and then jump out the window at the other end of the house. Like it was a shortcut to the other side of the yard or something. I also have a Lavender rooster who has screaming contests with the squirrels in the trees. He's got a pretty creepy sounding scream/growl that he does. My roommate calls it his "Jurrasic park" voice.