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The saying most likely originates from a time when it was believed that the world always has been as it is now, and so the question is rhetorical and intended to convey the pointlessness in trying to find the origins of a seemingly unending cycle.
On a slightly different note, a scientific theory is not quite what most people seem to think it is.
"As used in science, a theory is an explanation or model based on observation, experimentation, and reasoning, especially one that has been tested and confirmed as a general principle helping to explain and predict natural phenomena."
Tested and confirmed are the key words here I think. A scientific theory is not an 'idea' a 'possibility' for us to believe in or not, and not something that two people in lab coats concocted during a coffee break.
When scientists refer to something that is an unsubstantiated idea or prediction, it is called a hypothesis.
When a hypothesis has been rigorously tested and proven to accurate, it becomes a theory. That last bit is probably an oversimplification, but that's the general gist of it.
Back to the chicken question and factoring in evolution, the egg came first.
The egg that the chicken came from was always going to produce a chicken, they are effectively the same thing, it's just a baby chicken.
Due to genetic variation, their would be a point when a bird very much like a chicken gave birth to a modern day baby chicken. Finding that particular moment would be impossible but that's not the point of this really.
It's similar to how you are not exactly the same as your parents. These things happen slowly and gradually over time.
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