Well, you see, when a Mommy and Daddy love each other very much..
Seriously though, the general assumption is that Pokemon create Eggs the same way animals do in real life. So no, they'd have to rate it R if they showed that.
According to a girl in Solaceon Town, where one of many Pokémon Day Cares are located, no one has ever seen a Pokémon lay an Egg, and thus, it is not confirmed that this is how they appear. No alternate explanation for their creation is offered, however, and most assume that the details are not gone into to keep the games appropriate for all audiences. According to a Monsieur in Coumarine City, Eggs aren't actually eggs and are more like "cradles". - Bulbapedia
