I might be wrong, but why should the caterpillar be the first to evolve? We don't have issues with the idea of an embryo developing into a winged animal, e.g. a

I might be wrong, but why should the caterpillar be the first to evolve? We don't have issues with the idea of an embryo developing into a winged animal, e.g. an egg into a bird. Then it's not that hard to imagine that eggs, in certain favourable conditions, could evolve the ability to absorb nutrients from the environment before hatching. And that behaviour could be optimised until the egg might become able to move and feed by itself before completing its growth into a bird. And you have some sort of bird-caterpillar.