Well, Gonnagetyou, we can think about this a couple different ways.
Logically speaking, we can conjecture that Onyxia (as an example), being a dragon, has hoarded various treasures and artifacts during her tyrannical reign; traditional draconic lore shows them to be quite obsessed with shiny things. Thus, when you and your compatriots slay Onyxia, the items which "drop" are technically being taken from her trove.
Or you can just muse on the fact that players carry rams and kodos -- in addition to various disembodied heads, hands, and hearts -- around in their bags, and give up on logic. ;)
Ce sont ces fenêtres qui m'appellent...