If the dragon in the egg says anything other than "guys please save me" it doesn't make much sense, as it doesn't stand to reason that the unhatched dragon would be okay with Zyloria taking them, yet does not choose hatch. 

From a purely objective standpoint, Zyloria's behavior right now is quickly establishing her as the outcast of the group, building enmity with literally every character present thus far. That might not be wise, but again, this is purely objective. Though I don't know many people that would be so stubborn when being threatened by three dragons and two armed opponents.