Fleas don't burrow. You can see the eggs they lay in your dog's hair, and get them out with a flea comb. Fleas' specialty is laying eggs OFF your dog, say, in your furniture, and then they lay dormant until triggered by movement. That's why it can be so tough to get rid of fleas - you get all the fleas off your dog, then you sit on your couch, and more fleas hatch.
I suppose they could be some other type of parasite, but Thor has a bunch of moles on his belly too.