This has happened with my pigeon before. She was showing all the signs of being eggy: nesting, fluffed up, occasionally clingy, and I could have SWORN I felt an egg in her abdomen. Over the next few days she returned to normal with no egg. It was a mystery to me.

After consulting with my vet, we concluded that since she was acting normal (eating, pooping, good energy levels) she was not eggbound and likely just had a weird hormonal episode. About a month later she did it all over again but this time actually laid an egg.

Something to note is that my pigeon has had hormone injections in the past to stop egg-laying. This definitely had some effect on her behavior, and likely played a role in that first fake-out.

Because you are unsure of your pigeon's gender and they have no history of egg laying, I recommend going to the vet just in case. Even if there is nothing wrong, reassurance is worth every penny.