This is one of those "Awwww" photos that people are always emailing to you with unverifiable stories about them. I usually discard such emails with extreme prejudice; however, I love dogs and I love traditional Christmas scenes. So whether the accompanying tale is true or not, I don't know (Snopes is silent on it).
The apocryphal tale is that the pooch was an abandoned dog who sought a warm place to sleep for the night, so crawled into this manger scene and cuddled up with the baby Jesus figure. Someone later found a home for the dog. Anyone who would abandon a dog of such beauty is a Grinch for sure.