I thought Klein meant that they said the man at the gas station had a dog in the back of his truck. And then when they interviewed that man, he said he never had a dog.
In spite of the fact that we greatly appreciate Klein's up front speech and release of information, I think sometimes he does tend to take a statement and then "blow it out of the water".
FWIW, That is also how I interpreted Klein's statement about the dog in a truck. And I completely agree that Klein tends to over dramatize things. He has an odd way of speaking.