Nothing created the egg.
A real life comparison with Arceus would be the Christian idea of God:
>In the beginning was the Word, and the Word was with God, and the Word was God.
Therefore nothing created the creator; the creator simply existed. Also, Arceus being genderless doesn't confuse anything; why would it need a gender? It's a deity that has powers and intelligence beyond the understanding of most, or all, of the people in the Pokemon universe, so why would it have a gender like most life forms? In fact, Arceus being genderless actually makes more sense, because it sets it apart from most other Pokemon. Note that a lot of mythical Pokemon are genderless; nearly all legendaries.
And frankly, 'magic' is pretty much used to explain half, if not most, of the stuff in the Pokemon universe. It's fictional, so there's a lot less need for things to make perfect sense/ logic.