The Answer:

This happens when two yolks are dropped from the ovary at the same time. Because they are so close as they go through the oviduct, they are treated as one yolk and only one shell is made. Double-yolk eggs are usually produced by young chickens whose laying cycle has not yet been established, but some chickens are genetically more likely to lay them regularly. Sources we've found online differ considerably as to the odds, ranging from 0.1% to 5%.

—The Fact Monster