Ricky Gervais Would Approve
For those unfamiliar, After Life is a fantastic Netflix series where Ricky Gervais' character's wife passes away, leaving him with the family dog as his companion. Understanding the show's premise, it's reasonable that the OP's wife might be confused.
It's likely a wise choice for this person to play along with their spouse's assumption. After all, the last thing one needs is to be simultaneously grieving the idea of losing their dog and arguing with their partner.