Cheese Dragons are not actually alive. They are enchanted items of food that act almost identically to dragons. They have no need to eat, but they must “live” in humid environments or they will dry out and harden.

"Henkersmahlzeit" means the last meal of a delinquent before the execution. One day, a piece of ordinary Emmental cheese without any kind of sentience was given to a wizard who was imprisoned and sentenced to death despite being innocent. He did not eat the cheese because he was lactose-intolerant, and that was very lucky for him. All he needed was an item he could turn into something strong enough to break the door of the prison—like a dragon, for example. And his mother had always taught him never to let food go to waste... he looked at the cheese. He couldn't eat it, but he could do magic with it, and he did.

Henkersmahlzeit, being created to gain freedom, wanted to be free too; so after helping the wizard escape, it flew away and has found a home among a group of dragons that would never think of eating it because they value its funny capers more than a snack (even though some of its jokes are rather cheesy).