Literally this means "where are you going with your dog", right? I don't see why it's not accepted...
In Welsh, verbs/verb-nouns often combine with prepositions to give specific meanings. For example:
- mynd â - taking/to take (something/someone)
dod â - bringing/to bring (something/someone)
mynd gyda/efo means only what it says: 'to go with'