Though there is no known historical origin of the Egg In a Hole there have been a few notable references of it in pop culture, mostly movies. Three examples of this can be found in:
One scene in Moonstruck opens with the mother cooking egg in a hole alongside some red peppers. In V for Vendetta Natalie Portman awakes to her kidnapper cooking what he calls "eggy in the basket" for breakfast. Moon Over Miami gives the dish the most air-time when one of the characters explains to a young woman how it is made step by step.