definitely sounds like a phantom pregnancy and nesting. one of my rescue buns came to us pregnant when she built her nest she sat with a load of grass in her mouth ...except I didn't know she was pregnant and just thought she had gone loopy!
Our female house bun used to run round collecting hay and depositing it in places from time to time. Sometimes she'd just sit with it in her mouth (looked like she had a moustache). She'll be nesting - females do this from time to time. Are they spayed? If you have them spayed, this hormonal behaviour should stop. It's also better for their health to get them spayed (females are highly likely to develop cancer if unspayed).
Having said that, my current bun (male) was neutered to 'calm him down' and he's livelier than ever.
Usually nesting for babies involves them plucking fur from their chest and abdomen and mixing that in with their nest too. But they can just make nests for comfort too. Have either of them been in contact with a male?
We have 2 female bunnies that are 9 months old. They have a large hutch, the bedroom has a small heater in it so its not too cold & the open bit of the hutch is protected from the elements by a cover. One of the bunnies keeps getting the hay from the main part of the hutch & carrying into the bedroom. She then proceeded to go in the run & collect all the loose bits of hay & carry them into the bedroom. Is she nesting? Or is it because its gone colder. She's happily enough & eating etc just acting strangely.