This picture has officially created a train of mind f**k I did not wish to go to... so I'm sharing!
A rabbit has a gestational period of 28-31 days. Penguins lay 1-2 eggs as soon as conception is successful, though it can take 32-64 days of incubation depending on the species (smaller breeds being shorter). Thus, there is a potential for different scenarios (I am only providing two):
a) The egg forms and incubates inside Hilary for 30-32 days. Then it hatches, the hard egg shells slicing her to pieces on the inside, and then is born (likely crawling out since that much blood loss would likely have killed her)
b) They are together one night, she is sick by morning, and then by the next night- surprise! It's an egg. Considering how things turned out for the relationship in the end, Hilary (and possibly Art and Kat as well), would be looking for a way to smash the little thing before the Hell spawn hatches while making it look like an accident.
Thank you, for prompting your viewers to ask questions that should not have been asked.