WMGs for Discworld / The Wee Free Men, Discworld / A Hat Full of Sky, Discworld / Wintersmith, and Discworld / I Shall Wear Midnight. Warning: Potential unmarked spoilers.
The Smurfs was created by the Queen of Fairyland to bother the FeeglesBlue Eusocial Violent Glaswegian fairies who would be incenced at the show that is clearly a Sugar Bowl Expy of the feegles.
The Nac Mac Feegle are right.The Nac Mac Feegle believe that Discworld is their afterlife; more specifically, their equivalent to Valhalla, because why else would it be so perfect for them? Canonically, everyone gets the kind of afterlife they believe in (so History Monks get reincarnated, the Omnians all have to cross a lonely desert, etc.). So if the Nac Mac Feegle believe the Discworld is their afterlife, then quite possibly, it is!
The "Last World" believed in by the Nac Mac Feegle is actually The Legend of Zelda: Ocarina of Time-era Hyrule.And the Feegles themselves reincarnate there as Gerudos. Both peoples have red hair, unusually colored skin relative to the rest of the world, and are renowned for their warrior and thief abilities. More tellingly, both peoples are a One-Gender Race, with the exception of one individual per generation who automatically becomes the ruler of the group. Obviously, the Feegles shrink and undergo a sex-change in the afterlife.
Granny Aching's sheepdogs were werewolvesIn The Fifth Elephant, Angua mentions that one of her brothers was a yennork, a werewolf that can't change to human form, and so he went and became a sheepdog. It's possible that Thunder, Lightning, or both were really werewolves (and one was possibly Angua's brother) that went to work for a Granny Aching as sheepdogs. It's very strongly implied that they could understand complex English (Morporkian), aside from the Chalk language commands.