Could of been a mutation or something strange inside the dame. I'm assuming they should be fertile due to the vermiticulite. You didn't inbreed, right? That could be a possible cause. More experienced breeders will chime in but do you think it would be humane to let it hatch?
why would it be inhumane to allow the egg to hatch? a conjoined egg does not mean that the babies will also be conjoined. judging be the yellow that has already started to appear, I would bet the eggs will mold over before going to term anyways.