It reads fine to me without the comma, but you can put one in if you want. How do you know that your dog got lost? It might have been happy wandering around for a while, but knew its way home.
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Dejanm83I think there's a difference in meaning.
If you put the comma behind finally, you're simply listing the things which the dog did, and coming home is the last (final) one of those things. (And that is, I believe, the intended meaning)
My dog ate the rug, ran away, got lost, and finally, came home.
If you say