"Well, I'm always going to frustrate you, and I doubt you will ever stop worrying, because I never stop worrying about Max, and there is definitely isn't any future in which we raise half a dog."

Unless the Captain saw fit to create half a dog, but he seems quite averse to creating life that might harm the reality he has created.

"There is never going to be anything simple about loving a non-human who will outlive you in the real world, but that doesn't mean we can't try. As long as we both realize that there will come a day when the Nothing comes for one of us and the one who is left will have to survive despite that."

This is a lie. If someone she loves, Max, Ari, Klaus, Nobunaga, Yato, Erin, were to vanish, she would tear a hole in this reality to get them back and go through anyone who tried to stop her. Because here, coming back is possible.