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.

'Wookey Hole' (named after their place of origin) was once a mere piece of cheese maturing in the depths of the Wookey Hole caves. One day, the witch that lives in those caves got rather fed up with all the tourists walking around so she decided to enchant said piece of cheese to come to life and spook everyone. Needless to say it worked, and the result is this here 'dragon' you see today.