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Speaking from a it-doesn't-matter-what-sort-of-theory-you-believe perspective, there is an enzyme the chicken produces that makes the actual egg shell and allows the egg shell to harden and protect the life inside.. so whatever evolved/got created into what will be known as the common chicken, it is required that it exists in order to produce an actual egg.
/completely off topic rant
but it doesn't need a shell to be considered an egg, every female has eggs, presumably you too (reminder to self: ask @phobik to make sure). what came first, kyuuei or the egg she was conceived from?
/reinforces off topic rant