Cooking eggs too soon for Keto dough
I love Fathead dough!* 

No, don't microwave the egg. If the temp gets up to about 145°F, the proteins in an egg will solidify and you'll end up with bits of scrambled eggs smushed into the pizza crust. Unless that's your thing, I wouldn't microwave the egg.

But...you are right. It can be hard to mix the cheese(s) and flour together and then to incorporate the egg into that mixture.  So...the real secret is to just use your hands to mix it all together. It's messy but well worth it.