Hi peanutbutter
Hedgehogs are much better climbers than many people give them credit for. Sounds as if you are confident that it could have climbed to get into the house.
But if anyone ever thinks a dog has picked a hog up, it might have puncture holes, which will probably not be easily visible, so if a hog’s been picked up by a dog it should be checked out by a hog carer. Consequences of a puncture hole may not show up until later on, i.e. the hog may be behaving normally to start with, but may need some treatment.
Glad to hear this little hog is o.k. though. I’m guessing you mean hoglets? If so, you’re lucky to have them there.