Hi Cilla and welcome to the Nutty Nursery! It does sound as though your little mare is having a phantom pregnancy - sometimes it happens. Do you know if she has had foals before and also if she was run with a stallion Spring last year.
Some scans do make 'mistakes' but, if she was actually pregnant, then I would think there would be something to 'see' at this stage, especially as she is running milk.
Could we possibly have a few pictures of her?