It doesn't :-) The notion of "Humpty Dumpty as an anthropomorphic egg was an invention of Lawrence Charles Dodson (writing under the pen name "Lewis Carrol"), in his famous book _Alice In Wonderland_.

As for the origin of the nursery rhyme, according to the following link, the rhyme was about a fallen cannon, which could not be raised back to it's firing wall during the English civil war.

See http://www.famousquotes.me.uk/nursery_rhymes/humpty_dumpty.htm for more information.
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AC

_{HUMPTY DUMPTY WAS PUSHED}