What breed of dog is Milly? Is she a greyhound? Was that a picture of Milly in Milly's career? I do hope that when they dream they are happy and not frightened. We all dream, I guess dogs have anxiety sometimes. Bandit doesn't dream everynight, unless I sleep through it. Sometimes he does sound like he is weeping in his sleep. But I think it's natural. He probably, like humans dream. Dreams can't hurt you.