Each time I open the cage door and after the pop up explaining that the dog likes to eat things, my head blows up.

What the hell am I not doing?

there are radios in the room, turn them off. You have to go the basemant and get an audiotape, an audiotape of God's voice. Play the audiotape (open your Pip-boy, go to misc, play audiotape, close your pip-boy) and then you can talk to God. In the conversation you get the option to play Elijah's tape, so you can do that if you like Dog more then God.