Not sure the entire set of DLL's that maya2egg uses, but it's probably most of the Panda DLL's (in addition to the Maya DLL's, of course). You can use a tool like Dependency Walker or dumpbin to get the full set.
It's theoretically possible to compile a "static" build of Panda that doesn't use DLL's at all, so that all of the Panda code gets linked into maya2egg.exe. Then you will only depend on the Maya DLL's. This is fairly advanced, though--you'll need to use ppremake instead of makepanda. And I'm not 100% sure it will work for maya2egg; I've never tried it on that file.