I thought it was rather weird too but I looked it up and it's actually good for your dog, read this article...
http://www.naturaldogfood.com/WebEmergency_food.html
The Incredible Eggshell
Beside eggs being an excellent protein source, the eggshells provide our dogs with much needed calcium. Eggshells consist of calcium carbonate (94%), magnesium carbonate (1%), calcium phosphate (1%), and organic matter (4%). For those of us who prefer not to use bone meal as a dietary supplement, this is an inexpensive and reliable source.
I spend a few minutes on Sunday preparing the shells. Shells from 8 eggs provide more than enough calcium for the two dogs for the entire week. I think this is worth the effort, since it amounts to another aspect of your dog's diet that you totally control.
The procedure:
Lightly tap the egg on the counter to break the shell and extract the contents. Where the egg has cracked, lift up a part of the shell and pull the broken shell away from the rest of the egg, taking the membrane with it. Sometimes it comes willingly, sometimes not. Don't sweat it if it does not. If you have enough eggs, toss the problem and work on the easier ones. Drop the cleaned shells in a pot of water, bring to a boil, then remove to let them air dry.*
When completely dry pulverize the shells either in a coffee grinder (I have one I use just for this purpose), with a mortar and pestle, or any means you have. Store in a covered jar on your counter and sprinkle on your dog's dinner at the rate of ½ teaspoon per pound of meat.
One half teaspoon of ground egg shells yields about 2750 mg calcium carbonate which has 1100 mg of elemental calcium.
* I boil them as a means of cleaning the shells from left over membranes, and also in case the egg supplier coated the egg surface to maintain freshness.