A threat dog is a very small dog, easily confused with a hot dog. This is not an accident, but rather the result of substantial genetic engineering and breeding experiments.
The main use of threat dogs is that of sending messages, similarly to the way homing pigeons are used. The main difference is that the arrival of a threat dog is not generally expected in advance, and is generally intended to induce shock and confusion.
Typically, it is arranged that a person eating hot dogs receives a threat dog in a bun and is led to mistaking it for his or her food. Some threat dogs are specially trained to woof at the last possible moment, so as to induce the greatest possible shock in the recipient of the message.