I have no real authority to say this, except that I've made toad in the hole several times, and MG knows of what she speaks. They've got to be cooked together. Otherwise it's just...what?...toad on the ground? 🤔No - don't do that! That won't be the same.
BTW, over here, people sometimes refer to what I call a hen's nest (where you cut a hole in the middle of a piece of bread and fry the bread and egg together) as toad in the hole. Every time I'd make a hen's nest and post it on FB (back when I was on FB), half the people would say, "Toad in the hole!!! I love toad in the hole!!!"
To which I, being the natural-born smartazz I am, would reply with, "Me, too, but what do you think about a hen's nest?"