I got a large egg thought it was a double yolker. Instead it was a tiny egg shell fully formed inside the larger egg. I haven't opened up the little one yet as it is rather cute. It would be the size of my fingernail.
Yes, it does happen! The one I have seen had a normal sized egg with yolk in the big shell, plus a yolk floating around between the inside egg and the shell.
Your little egg may or may not have a proper yolk. It may just be a "wind egg" either a blob of membrane from the ovary, that stimulated the albumen and shell deposition, then because it wasn't big enough to move along and be laid, it got caught up in the formation of the next egg, or was the cause of the deposition of the next lot of albumen and shell. Was there a yolk in the big shell?
Labrador lover for yonks, breeder of pedigree Murray Grey cattle for almost as long, and passionate poultry person for more years than I care to count.