You had no idea where he came from

It was cold outside, freezing and snowing, and you had been out hiking until you came across this little blue thing in the snow, curled up for warmth. You thought it was a stuffed animal at first, only to pick it up and find that it was real. A really what? You didn't know, but he was Breathing and moving

You still had him tucked into your coat, under your chin as you paced around the living room of your cabin, trying to contact someone to report this to, but Animal Control or any of the Pounds and Shelters or Vets you called didn't believe you when you began describing it, so you were at a loss