It's impossible for the dog to be immune to such a temperature. It may be able to tank solidified yet fleeting heat, but not lava. It still adheres to the rules of the living as a pain summon. It can't just tank lava, logically as it doesn't not dissipate like flames do. Take a lighter and fling your finger thru the flame. Insignificant, right? Now do the same thing in a small drop of lava. You won't have the same results. You'll be lucky to have your finger at all. The dog is still made out of skin and bone and although undead, still adheres to such things. The lava would melts everything about the dog. The dog tanks size of the techniques techniques not what composes the techniques. Nothing you mentioned is as hot as lava release.
Your reasoning is good, very good in fact.
However, the dog still took on concentrated heat that didn't dissipate against the ANBU attack. That fire should have melted its brain. So in this way, it already proved practical immunity to heat. The very same dissipation should have helped the fire get through its flesh - eyes, brain, spinal matter should all have been melted.
In terms of what Lava actually does in a physical reaction, it uses heat to break down targets. The dog already showed it can take heat. Ajd technically, heat always dissipates. Lava simply holds it better than a normal flame, but it still dissipates.
