Quote from CarstenHaeseThe card in the graveyard doesn't remember what it was on the battlefield, but that doesn't matter. "Dies" triggers are a special case of leave-the-battlefield triggers, which trigger based on the appearance of objects before the event rather than after. Before the Phantasmal Egg died, it was a Roc Egg, so the ability triggers based on it being a Roc Egg and you get a bird.
This is what I thought. Thanks.