I expect that it's a wasp, hornet, or yellow jacket nest. What does the nest look like?

The nest is very small, less than a half an inch in diameter so far.

What is the "hive" made out of. It is dried mud, paper, in a crevice of your house? What does the "bee" look like, color, markings, beelike, wasplike? Ned more info.
If you don't care about allowing the bee to live, you can spray it with wasp and hornet killer you can buy at the store.
Or you can just knock the nest down when the bee isn't there and it will probably go elsewhere and start over.