Here's a picture of the Egg. It's part of the distinctive part of the downtown Albany skyline that is the Empire State Plaza. It's not egg-shaped.
photo © 2007 colin summerson | more info (via: Wylio)
Except from above that is:
No, from the view that most of us get it looks more like a quite different breakfast food.
"The Precarious Crust of Bread" would have worked fine I think, but They Might Be Giants might have had more trouble writing a song about it.