I encountered my first Nemesis Egg yesterday and didn’t completely understand how it worked. After clicking the “replace” option, I selected the stash tab button and tried to put in a legendary I had acquired as a previous Nemesis reward. I thought if it wasn’t the right item type, it would prohibit me from inserting the item, but instead when I tried to drop the item into the egg, the item disappeared without a trace, leaving an empty spot in my stash where it had been.
I was still able to put a separate unique item into the egg after that, which seemed to work as intended, but the initial lost legendary did not reappear. For context, I was playing in full offline mode and encountered the Nemesis in the first cluster of monoliths you have access to after Majasa.