Egg is a single cell and has a outer hard covering outside inside which there is a cell membrane. Then why isn't the egg shell a cell wall? Is it because no exchange of materials take place through it?
Egg shells are actually porous so that the organism inside can aquire oxygen and get rid of carbon dioxide as it develops (http://www.scientificamerican.com/article/bring-science-home-chick-breathe-inside-shell/).
Although gametes (eggs and sperm) are single cells, an egg shell (or "wall" if you like) is created by the mother (therefore external to the egg cell) and contains many compartments separated by protein membranes:
The initial egg cell is a tiny fraction of a size of the egg visualised here, so it would therefore be incorrect to call the egg shell a "cell wall" as it is a structure independent of the egg cell itself.