There are many recipes out there for baked Scotch eggs, however I've tried this method and just don't find it is nearly as good as a fried Scotch egg.  Fried Scotch eggs gets a nice, crunchy crust that is practically impossible to achieve in the oven. It also prevent the interior egg from over cooking, resulting in greyish yolks. When you pan fry, you do so only to cook the exterior pork and breading and remove the egg before the actual egg inside has a chance to continue cooking.