I just finished reading The Mouse in the Mountain by Norbert Davis, which as far as I can tell is the story known to Wittgenstein as Rendezvous with Fear. Wittgenstein liked the story even more than he liked other detective stories, and even wanted to write a fan letter to the author. There's nothing especially philosophical about it, but there's plenty of irony ("Is he hurt?" "Oh no, just dead") and some nice sentences ("The sunlight bit brilliantly into Janet's eyes"). The heroes are a detective and his huge dog. You can read more about it and download it for free here.
Another big dog appears in Wittgenstein's Lecture on Ethics:
"If I say 'I wonder at the existence of the world' I am misusing language. Let me explain this: It has a perfectly good and clear sense to say that I wonder at something being the case, we all understand what it means to say that I wonder at the size of a dog which is bigger than any one I have ever seen before or at any thing which, in the common sense of the word, is extraordinary. In every such case I wonder at something being the case which I could conceive not to be the case. I wonder at the size of this dog because I could conceive of a dog of another, namely the ordinary size, at which I should not wonder. To say 'I wonder at such and such being the case' has only sense if I can imagine it not to be the case. In this sense one can wonder at the existence of, say, a house when one sees it and has not visited it for a long time and has imagined that it had been pulled down in the meantime. But it is nonsense to say that I wonder at the existence of the world, because I cannot imagine it not existing."
There is no cause and effect here, though, since Wittgenstein's lecture was written before Davis' book. The same goes for Wittgenstein's lecture and Freud's Civilization and its Discontents, which both link religion with feelings of wonder, safety, and guilt. Freud's essay was published in 1930 while Wittgenstein's lecture, I believe, was given in November 1929.