Indeed, egg talking to himself would be better. Otherwise our existential problem isn't clarified just moved up one level of conscience.
One could imagine the concept recurring outward, since time has no meaning. Maybe when egg has lived all the lives he moves to the next level and finds that he was both egg and the "god", teaching himself.
http://en.wikipedia.org/wiki/Kashmir_Shaivism
Except that, coming from that background, I expected the big reveal to be that the Egg is talking to himself, hatched.
As unprovable speculations about the nature of reality go, I rather like this one.