Oh dear, cockatiel hens really can get rather broody, and sometimes it doesn't take much - I've had a hen lay eggs on a bare cage floor, no nest, no empty food dish, nothing!
I would keep that egg, boil it, let it cool and pop it back where you found it. The rationale behind boiling it is to make it a little more durable if Egg does decide to go ahead and sit on it. If she does go ahead and sit, sometimes the shell will break, and if the egg is boiled it means you won't have a mess to have to clean up and off of your bird. Taking eggs away prematurely often means they will just go and lay more to replace them.
You'll need to keep an eye on her in the coming days as it's often, not always, but often the case that where there's one egg there's usually another one forming which may appear in the next 24-48 hours. I would do the same thing again, boil the egg and return it to her. Make a little mark on each one with a sharpie pen so you know which have been boiled and which have not.
Egg may show little or no interest in her first egg, so you'll need to keep a close eye. Some first time egg-layers lay one, have absolutely no idea what it is or what to do about it, and take no further interest. Some however will appear to show no interest at the first egg but get more interested in them as they lay more, a lot of species don't actually go and sit on their eggs until they've laid a whole clutch, or close to. It's hard to say at this stage which way Egg will go, so observation over the next few days will be important. If she starts to show signs of heavy breathing or straining to lay, you will need to seek veterinary attention as she may be egg-bound and this can unfortunately become dangerous very quickly.
With any luck at all this will just be a "one and done" scenario for you. I wish you and Egg all the very best!
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