Yeah, the raws don't even specify liquid density for whites/yolks, which is pretty messed up.
So, I changed egg whites and yolks to have a density of 10,000 (very very high!!) and the weight of eggs didn't seem to change, supporting the theory that eggs are "made out of" their shells.
I had my cook make a meal out of two egg stacks (which apparently clutters the shop, because it seems that a dozen eggs is enough to make a kitchen "cluttered" in DF). The resulting egg biscuits also were not heavy.
However, modding eggshell to be heavy, the weight of both eggs and their biscuits went up. In fact, the weight of the biscuit stack was greater than the total weight of what went into them (almost twice as heavy, in fact).
In conclusion, even when cooked, it seems like eggs are "made" of eggshell, and presumably, the white/yolk materials themselves are never used. Hooray!?
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Update: Apparently, if you mark the whites and yolks as also being inedible, you can't cook eggs. The game must check for EDIBLE_COOKED in the whites and/or the yolks. So you can't cook eggs made out of rock, but you could probably have eggs with rock shells, and the properties of that rock will be the properties that carry over into the finished meal.
These results have pretty clear implications for anyone trying to make exotic eggs. For instance, if you made eggs with normal shells filled with super-valuable god-chocolate, the properties and value of that filling will almost certainly not matter. Seems like nothing matters except the shells, as far as I can tell. This is a little disappointing, as it limits what we can do here. Enjoy your eggshell-munching!