https://www.youtube.com/watch?v=n-Dh3ftkRAs
Young Tia wanted desesperatly to make studies about thoses mysterious creatures. One book in Starwill's library got her attention : "terrian dragons : the emerald caverns of Dragon's lair". Not much informations were written in it but she wanted to know more about theses dragons she never saw. During the night, she sneaked outside with her sister and made the long travel to the dragon's territory. Arrived in the mountains, the two sees a huge glowing hole. Luna goes inside first "what are you afraid of Tia ?", anxious Celestia jump in the hole. They saw a little blue dragon on a pile of jewels and precious stones, an egg jealously guarded by the creature's tail. Curious, she studied it, his forms, the colors…Luna takes it with her magic "if you want it so badly why not take it !", Celestia started to yell at his young sister but it was already too late. The mom dragon woke up and saw the the egg with the ponies. The creature started to attack but in a instant the two alicorns flees with their wings. Full of greed, the dragon became bigger and bigger… enough big to take them before the end of the hole. The alicorns were already too high in the sky for the no-wings dragon. "give it back to her Tia !" Luna's screamed at Tia. "I can't, It's already too late, sister"

My own theory about how Celestia got Spike's egg :)

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Photoshop CC -4h