Considering that most birds only have one hole for solid waste, liquid waste, and reproduction, I don’t imagine that the penguin’s going to last long with a bound egg.
The process goes like this for the emperor penguin, the one most famous for having the male care for the egg:
Female spends lots of energy on making a large egg with nutrients, then leaves it with the male to go eat.
Egg hatches, if female’s not back yet, male feeds chick with gunk produced in the esophagus.
Female returns, male goes to the sea to feed, while female pukes up fish.
Male returns, femal goes to the sea to feed, while male pukes up fish.
Repeat step 3 and 4 until chick is big enough for daycare, then both parents can go fish.
According to cited information on wikipedia, the emperor penguin is the only species where the male is the one doing all of the brooding. In other species the brooding area is much closer to a coast, and the parents take turns from the start:
So if the egg is kept inside in preparation for a live birth the chick might suffocate, but more importantly (getting oxygen inside an egg inside a body has been solved by lots of different species) the female will die before the male returns. There are good reasons for her to take the first turn going to feed.
Also, there’s no “antarctic type penguin”. Four different species of penguin breed on the Antarctic continent.