There is actually some indication as to what may be inside, although it is very small. The game's description provides the most info:
>An item to be held by a Pokémon. It is an egg filled with happiness that earns extra Exp. Points in battle.
This still doesn't tell if there is something physically inside the egg though, but it's something at least. The game's developers have not said anything about it, nor has the anime, so really the answer is unknown.