The Deep Sea Dragon Egg Fragment (a.k.a. Essence of Thallasion) is a rare crafting material that is dropped by the world boss, Thallasion. These fragments are used to craft Thallasion, Shaper of the Currents.
The world boss, Thallasion, can be found in the Drowned Elemental Worlds in the Open Seas biome (on the map, it doesn’t have any marker/symbol on it) or the other Open Seas biome (colored dark blue on the map and also doesn’t have a marker/symbol).
The amount of essences dropped depends on the Uber world the player kills Thallasion in. The higher the Uber, the more fragments drop.