I've found one egg location in Frostfire Ridge - It is up top a building in north east area of Grom'gar. So far I've opened two and only had egg yolk drop. Have been looking around shadowmoon lately but haven't seen anything yet as far as an egg is concerned. Wondering why it mentions Shadowmoon egg...

Keybind the Interact With Target function (found in your menu under Keybindings - Targeting Functions) and then you can spam it whilst moving around those pesky pets that are on odd terrain. Those pets that always evaded you with terrain errors are now yours :D You can also /target something manuall...