Eggs don't go in bag slots. You carry them around as part of your team. Obviously it can't battle, and you have to walk a certain number of steps for it to hatch.
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The mysterious egg is an item in Pokemon Pearl version. It will hatch into either a Happiny or a Riolu.
he comes from Pokemon ranger. there is a misson for the manaphy egg. after the misson you connect it to Pokemon pearl.
I think a egg with a shiny Pokemon in it is a different color
breed it with a ditto
You'll need to get it as an Egg from Loudred or Exploud.