Origin and meaning of "lay an egg"

This was show-biz parlance in the 1920s, and it referred to a show that closed quickly after opening. The most famous usage was by Variety (a show-biz newspaper) in 1929 after the stock market crashed: "Wall Street Lays An Egg"

Some sources I have seen say that the original meaning came from the number 0, which is what is put up on a scoreboard when a team fails to score. It resembles an egg, and is still today called a "goose egg," so by extension when a team scores zero it "lays an egg."

The OED says "lay, v. ... 9. ... figurative phrase to lay an egg, used in various colloquial senses, specifically: (a) (of an aircraft) to drop a bomb; (b) orig. U.S. (of a performer or performance) to flop." with earliest citation for sense (a) from 1927 and for sense (b) the 1929 Variety headline quoted by Robusto.

This phrase thus seems to be unrelated to the "zero" sense of the word egg, though it's possible that its use in sporting contexts is influenced by it.

The OED says of the latter: "duck's egg, n. The egg of a duck; hence, in Cricket, the zero or ‘0’ placed against a batsman's name in the scoring sheet when he fails to score; no runs; hence, generally in school-boy slang, ‘nought’" (earliest citation 1863).