It's probably a false pregnancy then. That's not uncommon in unspayed females. Her hormones make her body think she is pregnant, even though she's not. So they will build nests, possibly act aggressive, have all the behaviors associated with pregnancy except of course they're will be no babies.
I really suggest you get Millie spayed when you can. Even false pregnancy's are stressful for the rabbits and she'll probably keep having them randomly until she's spayed. Spaying females is important for other medical reasons as well, such as eliminating reproductive cancers which are actually a very common cause of death in adult unspayed female rabbits.
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