What made you want to look up xenial? Please tell us where you read or heard it (including the quote, if possible).
Black dog is an oft-used phrase to mean depression. Here's a link that attributes the phrase to Winston Churchill, but I suspect he didn't invent it. I like the way they described it though: Black Dog was Churchill's name for his depression, and as is true with all metaphors, it speaks volumes.
The dog's name is Nox, which is Latin for night. Father Brown makes a reference to his absent associate, Flambeaux. The Oracle of the Dog is adapted from the third of Chesterton's collections of Father Brown stories, The Incredulity of Father Brown.