A number of years ago a friend of mine said not to burn candles around our little ones and I couldn't remember why until I did this search.
I know they are talking about birds but I would think it would apply to our small dogs also.
Some candles on the market are made with wicks that have either lead bottoms or lead cores that emit potentially dangerous levels of lead into the air. Not all candles are made with wicks that have metallic cores. The practice is primarily used with candles that are designed to burn longer, such as scented or ceremonial candles. Lead was detected in small quantities in emissions from zinc-based wicks, suggesting that lead may be a common contaminant found in both the wick and the wax of candles made with these wicks. The levels of lead were small, but still could represent a health risk to birds over a long period of time. Don't burn scented candles as a bird's respiratory system is delicate and toxicity may result from using them in its presence. Petroleumbased candles can also emit toxic fumes. Use beeswax-based candles, as an alternative. I also advise against the use of incense, potpourri or any other items that carry a strong fragrance.