Out of interest is he castrated?
New dogs can do odd things, when we bought Chips home our pensioner lacy went all playful. Then as soon as his testica were taken she went back all happy on the sofa .... I'm sure it will all settle down.
I wonder if he thinks your new addition is his early Christmas gift.
Can you perhaps crate him by her and give him something like a filled kong, so they are separate yet together so he gets used to her being around. I love the suggestion about bathing her in the same shampoo too..
Best of luck!