Lisa, it very well could be a HOSP or a house wren. I had a HOSP a couple of years ago that would remove tiny babies one at a time. And house wrens are notorious for doing that to eggs. But if you have never seen a HOSP at your house then I doubt it’s a HOSP. Do you have house wrens? Where do you live? It’s too early for house wren activity up here. Hopefully the momma took it out. All you can do is watch.
Tammy