I got the message "oh" and it showed my egg. Before I could do anything the server went down. When I got back on my egg was gone. Is there anything I can do to retrieve my incubated but not hatched egg?
most likely could have got your Pokemon.
Sort your Pokemon by "recent" and look for a blue glow that indicates a Pokemon is recently added.
In the event your egg really disappeared, the answer is it's lost. As indicated by Sync in the comments, lost eggs is a common problem.
Niantic has warned against using high value items during times of server instability.. but eggs we can't really control. Your best bet would be to contact support.
I would consider this a high priority issue and use the "Report High Priority Issue" button.