It's because both are a complex blend of naturally occurring substances.
Milk contains water, fat, proteins, lactose (milk sugar), minerals, pigments, enzymes and compounds called phospholipids.
Egg white contains water, proteins (including albumen and mucoproteins) and globulins.
In both cases, several of those compounds have sodium in them. There are other naturally occurring elements in eggs as well, notably sulfur in the yolk.
Some of it is based on the type of animal, some cows produce a milk that is higher in butterfat, for example. There are at least two breeds of hens that produce an egg that has a blue shell.
Eggs that are high in riboflavin (Vitamin B2) can have a greenish tint to the egg white.
And it is also somewhat affected by diet, corn fed hens tend to produce yellower egg yolks, for example, and high-omega eggs come from chickens that have been fed a diet specifically designed to produce omega-3 and related fats in eggs, though I think most of that is in the yolk.
But there's only about 62 mg of sodium in a large egg, most of that in the egg white. So if you're watching your sodium intake, unless you're eating 4 dozen eggs a day (like Gaston in Beauty and the Beast), it is probably not something to worry about.
Interestingly enough, when I was looking at almond milk the other day, it actually has more sodium than cow's milk does, though there is very little sodium in almonds, 1 mg in a cup of almonds. I'm guessing they add it (along with things like vanilla) to make it taste better.
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