I have used washed playsand for years. Moisten it only enough that it can hold a tunnel.
Don't let the female see you watching her when she is digging or it will make her abandon the hole.
She may dig several test holes, but should settle on one and dig it until she is satisfied with it. She will then turn around, bum down, usually in the evening and lay the eggs, fill in the hole, tamp it down and return to the branches.
During the time she is digging, make sure you don't leave any uneaten insects in the cage...they may chew on her or the eggs.
Was she mated?