Answer:
The incorrect pronoun in this sentence is their.
Step-by-step explanation:
In this case, the function of their word is like a possessive adjective.
While it is not a pronoun, it is similar to a possessive pronoun.
The correct way to write the sentence would be: My dog chased its tail.
Unlike a pronoun, instead of replacing a noun, the possessive adjective functions as an adjective, and is placed before the noun it will modify.