This is nonsense of course. It hardly needs debunking but, lest there be any doubt, let's do that anyway. In order to believe this tale we would have to accept that dogs lived in thatched roofs, which, of course, they didn't. Even accepting that bizarre idea, for dogs to have slipped off when it rained they would have needed to be sitting on the outside of the thatch - hardly the place an animal would head for as shelter in bad weather.