The dragon egg can be destroyed by explosions. I have only tested it with creepers and TNT but both of these completely obliterate the egg. I have confirmed it does not teleport anywhere, drop as an item ever, it's always 100% removed. According to the wiki this does not appear to be the case and I had a friend try this same test over on Java. What should happen is the egg should drop as an item from an explosion. But on bedrock this isn't the case.

I'd love to see this fixed if it isn't intentional, because it's just a matter of time before this happens to someone in survival.