It's really not because he has absolutely zero expectation of actually getting a bone if he keeps digging. It actually makes no sense, and if you showed this to someone who's never heard of the Sunk Cost Fallacy and asked them to explain what it means, what are they going to say? "Um, it means you keep going when you know your wrong." Or something equally incorrect.
Here's a real world example of the sunk cost fallacy:
You saved up for months to buy two tickets to see a Broadway play for $400. You live in Maryland, and when it comes time to drive to NYC, your find your car won't start. You could only afford the tickets after months of saving, and now you have to rent a car to get the the show, and that will be another $400! "We have to do it. We can't let the $400 we spent on the tickets go to waste. We can eat rice and beans for two months."
The price of the tickets is the sunk cost. You've already spent it. It's gone. Now you have a brand new choice. You can spend $400 new dollars to go see a Broadway show. The fact that you already spent $400 is of no consequence, but humans just can't get it out of their heads that they'd be wasting that money if they don't spend even more money to go see the show. But that money is already gone! You now have an entirely different choice: spend $400 to go see a Broadway show. Or you can cut your losses and stay home.
That is the Sunk Cost Fallacy, not some dog who's too stupid to stop digging.