Dylan, Obviously your bird is a female, not a male. It is natural for your bird to lay eggs. Think of chickens, they lay eggs everyday.
All birds lay eggs.
If your bird is alone in the cage, and has no contact with any male Lories, then the egg is not fertile and won't hatch. Unfortunately, your bird doesn't know that, and she thinks she needs to incubate it and protect it. The best thing to do is remove the egg, because it will eventually go bad. Your birdy might need extra attention, because she will be confused. She will probably lay more eggs in the future.