I have done a fair amount of experimenting today with using several different blocks and block types and concluded that there is no way to keep it alive. I tried using trapdoors, fence, scaffolding and many other things but it didn't work at all. I tried putting mobs above the egg to absorb the shock but lightning pierces down to the egg.
The only idea I have left is using some type of redstone mechanism that reads when the egg hatches and sends a signal to a piston or dropper or whatever and it moves a block above it to protect it. I don't know if that's possible, as I suck at redstone. An observer I don't think works because the egg is a mob and not a block. Hopefully I saved some people the time and effort of experimenting themselves. Sorry it wasn't the evidence we all wanted.