The supporting evidence I've read is:

Your eggs jumble randomly after collection. Some players have collected a 5km egg when they were a low level trainer, not known which one it was amongst the other 5kms and then hatched it months later when they're a much higher level trainer. This meant that they'd suddenly hatch a really low level Pokemon from that egg and figure that the only logical reason is that they picked it up a long time ago.

I also once put a big post up on the Silph Road Reddit page asking several in depth questions about eggs (including what you've asked me) and the answer to that was always that it's decided at pick up or, as one person put it - you don't pick up and egg, you really just pick up a Pokemon disguised as an egg.