Princess Twilight Sparkle had learned Pinkie Pie could break physics and her biology whenever she felt like breaking them. So, when Pinkie claimed that she had laid an egg, Twilight could have accepted it was possible with only moderate but short-term confusion.
However, the additional claim that Twilight, a mare, was somehow the egg's father broke even Pinkie Pie logic. As well as breaking the alicorn herself.
Special thanks to TheHardie-Boy for proofreading chapter 2!