My first instinct with any animal (especially a sheep) that is behaving differently to normal, or differently to the others is to do what you've done and check it over thoroughly. We did have one last year that we bought in just weaned with a couple of others to add to the flock. She took ages ( well a few weeks) until she stopped causing us huge concern. She didn't bleat like yours but she was always on her own, often some distance away from the others and just seemed withdrawn and unhappy despite no obvious physical reason. Eventually she joined the others and is now, a year later, indistinguishable from the rest and part of the flock. We wondered whether she had been weaned early perhaps, or just coped less well with weaning than the others. I don't know for sure but wonder whether some just pine for mother for longer. As you've had them a few months it would be strange if she's still pining though so I wouldn't totally rule out something physical just yet, though it looks like you've checked for the obvious