An egg without a shell. Dr. Johnson's notion that the wind egg does not contain the principle of life is no more correct than the supersition that the hen that lays it was impregnated, like the “Thracian mares,” by the wind. The usual cause of such eggs is that the hen is too fat.
Source: Dictionary of Phrase and Fable, E. Cobham Brewer, 1894
More on Wind Egg from Infoplease: