Jack is expressing quite a bit of empathy here. He's not afraid for just himself; he's afraid for Ma and her safety. That's very sensitive for a five-year-old.

Old Nick is afraid, too. He's afraid that someone will figure out that he has a woman and child locked up in a shed in his backyard. He's afraid of getting caught. Plus, we can't forget the fact that he kidnapped Ma in the first place. Why did he do it? Is he that afraid of being alone?

This is Old Nick's ploy to get Ma in his truck, and it worked. It worked because he knew Ma would be scared for the dog's life. It threw her off guard, making it easier for him to snatch her. Like Jack, Ma seems to have always cared about other people—but it was her empathy, in a way, that got her into trouble. That could be why she wants to scare Jack out with stories: she wants him to understand dangers that maybe she didn't understand well enough.