This isn't a phrase I'm familiar with. Are you sure it wasn't as proud as a dog with two tails ? This is a variation on the more common as happy (or pleased) as a dog with two tails .
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BarbaraPAI have to say, I've never heard Blue Jay's expression in my life!Actually, I haven't either, but a Google search turned up a number of references to the phrase, so it evidently is (or was) in use somewhere.