The seven-year-old family pet then wandered onto the motorway and was hit and killed by a passing lorry.
Nicky's distraught owner Alun Thomas described the thieves as “heartless” and police have appealed for witnesses.
The stolen double cab Transit tipper van, registration HV02 SMX, has not been traced.
The incident happened at the Llangyfelach roundabout outside Swansea, near junction 46 of the westbound M4, on Tuesday morning.
He has spoken of his shock at what happened to his dog.
“The thieves are heartless. I'm in disbelief about what has happened and I hope the culprits are caught and dealt with in an appropriate way,” Mr Thomas said.
Speaking on BBC Radio Wales, he added: “We were loading a truck and just a couple of minutes went and the truck just got stolen and the dog was just thrown out on the motorway and that's the last we've seen.
Cats vs dogs funny compilation. Cats chasing dogs, cat boxing dog, a dog that tricks a cat and push it into a bath tub full of water. These pets are so cute …
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