Well, it's a
fire sheep.
Where did you think it'd be from? The Elemental Plane of Water?
Though, oddly, having a fire creature live in cold conditions makes some sense..
“She'd become a governess. It was one of the few jobs a known lady could do. And she'd taken to it well. She'd sworn that if she did indeed ever find herself dancing on rooftops with chimney sweeps she'd beat herself to death with her own umbrella.”
― Hogfather