Cattle can certainly get an infection in the udder before they've ever been bred, so I guess sheep could too.
A bite or sting is possibly more likely.
You say 'udder area' - it is on one side, not the other? There's a strong internal barrier between the left and right halves of the udder, so if it's not one-sided, it might suggest it's not internal, more on the surface - as a bite or sting would be.
Is the area hot to the touch? Can you draw any fluid from the teat on that side? (Don't try over-hard to get some; if you're not sure what you're doing it's better not to try, as you can do damage.)
Another possibility that's occurred to me... a friend had her unbred gimmers all start developing their udders when they were put out on clover. Clover contains oestrogen, and the hormone was stimulating udder development!