Logically if a comet makes enough passes near the sun....
All it's gas making stuff is burned off.
But I thought comets are either "rocky snowballs" with a mix of various ices and rock lumps, or a rocky core wrapped in an ice layer.
So the egg shape would seem to be the real mystery here.
Of course if this thing really has been in interstellar space getting some samples off its surface (or some detailed surface analysis) would seem like quite a good idea.