I specifically did not use treated lumber for the dogs health. Like you said, incase she chews it. As for the siding, i was going to go with cedar, but the pine planking was 1/2 the price, and i was trying to do this on somewhat of a budget.
The stain i used is redwood semi transparent deck stain. like i said before, it matches the stain on my shed and deck. The stain has a water sealant/protectant in it, but i will also thompsons water seal the whole thing for added protection.