No, it'll eventually get yucky like any other egg - though it might last a bit longer because these "wind eggs" usually don't have much yolk. If you've ever slaughtered a hen of laying age, have you seen the unlaid yolks inside her? Usually there are quite a few, ranging from normal yolk size (almost ready to be encased in an egg and laid), down to tiny specks (just barely developing). Normal eggs happen when one of the fully developed yolks is released and moves through the process; double-yolkers happen when two are released at the same time (or occasionally more!) - and these "wind eggs" happen when, instead of a fully-developed yolk, the hen's body releases one of the undeveloped, pea-sized yolks and surrounds it with the appropriate amount of white, shell, etc.
Egg laying is a fun process!
Anyway, it won't keep in the fridge forever, but you could certainly preserve the shell by poking a hole at each end, blowing out the contents, and sealing the holes with wax. You can Google "egg blowing" for more information, it's the same process used traditionally to make those incredible Easter eggs, or to make art out of those thick turquoise emu eggshells, etc.
