the most likely probability is that it's a "bad" egg--that is, one that was infertile or flawed and was going to die anyway, and NOT that it is succumbing to any flaw in the environment you've provided it. (that's without knowing ANYthing about the conditions you've got them in). But it's not at all uncommon for an egg or two to go bad in a clutch.
There's no need to remove it, the consensus is that the fungus or whatever that might ultimately attack a bad egg will be resisted by the good eggs (people see fungus on eggs and assume that's what's "killing" the eggs rather than vice versa, that eggs die or were no good, and the fungus is nature's way of getting rid of those bad eggs). You'd probably do more damage trying to tear it loose from the rest of the eggs than could ever happen from leaving it in place.
Terry