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That egg got laid before the shell formation process got completed. This is often caused by stress, for example when the hen gets a big fright or gets disturbed. I got one of those from my hens once, but mine was a water balloon, no shell. She laid it right in front of me too. She was fine afterwards and continued laying normal eggs, but I can tell you, she had me worried there for awhile!
There's more info on odd eggs, including tiny "fart" eggs like the ones pictured above and their causes here:
https://www.backyardchickens.com/a/common-egg-quality-problems