well, its probably subjective:
it comes down to the fact that at one point, the species "Chicken" will have passed the point from its predecessor [species], to what we consider to be its modern species
so it depends, when the "First Chicken" hatched, did it hatch from a Hen's egg, or an egg from its previous species?
i think that makes it the Hen that was first, since the mutation that defined that bird as a Hen (and not its predecessor species) would still leave the formation of the eggshell down to the parent's genes, which are not those of a Chicken.
so even though it hatched from an egg, its not a Hen's egg, is it? it just has a hen in it for the first time in history
BUT do we mean an egg in general terms, or do we mean a chicken egg? that turns it all on its head, because eggs were probably around for a long time before chickens....
EDIT: double :ninja:'d