Yoshi is definitely a he. Only when when Yoshies mate do they produce eggs with babies inside. Other than that, I think that enemies that are turned into eggs pass thru a special tube leading from Yoshi's digestive system- or something- and into a system that forms a shell around the enemy. You know, like if whatever Yoshi ate was too big or something, that would happen. (Just a thought, though.)
"Racoon Power!"