Power supply, speaker, case, and however you want to trigger, generate, and terminate the sound. For simple sound, and oscillator circuit and specific logic. More complex they use to sell sound chips. These days you could use a raspberry pi or even an old cell phone and program it. There is probably even off the shelf stuff you could link with Wi-Fi, z-wave, or zigbee these days.
Keep in mind z-wave and zigbee devices can be low power. Plus they form a mesh network so can have fairly large total area. The controller though might not be that low power.
Dogs … they may be leaving based in small not sound. Also sound… the higher energy part of that is the actual speaker. Other the thing to think about too. Ultrasound beyond human hearing. Dogs do not like.
The other question is how do you plan on triggering the sound. That seems a bit more complex unless it is just timer based or you pushing a button.
OK. So I think you have your answer. Case, board, battery, timer circuit, tone generator. Look these up on the web. Lot of them will be based on the 555 timer chip. A common electronics store is Jameco and Newark. There are other sound chips too but I am not familiar with the numbers. Simple oscillators do not actually need an IC, could probably just be discrete. Keep in mind to electronics do have temperature ranges, performance of whatever you design will have to be tested at different temperatures.
More realistic sounds, I think that gets harder fast. To do that you’d have to in the end record sounds into a PROM and read it out though a DtoA. Or use an SBC and program it.