Let's say your dog expects a treat after each trick. You ask him to roll and he does. He looks at you and waits for the treat but you don't want to give him.

What do you call your action? Fooling, pulling his leg or pulling a prank?

I don't know what it's called. Neither does the dog, but I'm sure he's disappointed. I don't believe that negative reinforcement is the opposite of positive reinforcement in this case.
I guess I should have asked, What would a friend or an observer say to him?

B : Don't pull a prank, fool, etc... on your dog. Poor dog.
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Don't wind your dog up like that, it's not nice and it's not clever
Optilang, why doesn't fool or prank work? Could you help me understand their usage?
Thanks in advance.
For me
a prank is something more complicated than this situation. More like a practical joke.

If I told you to go outside because there's a guy giving away a Ferrari to anyone with 2 in their screen name, and you rushed outside in hope, it would be a prank.

If I said that I'm not really a native speaker - you would question me. I might go along with the questions, and then finally answer: OK I was just fooling (with you), I am really a native speaker.

If I told you you're English seems to be getting worse - you would get worried/annoyed/ upset. But I would only be 'winding you up'.

That's why I chose the latter for the dog. The dog would be getting more and more frustrated/annoyed/angry/upset, because he was being 'wound up'.

Hope I avoided any confusion. Emotion: smile
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I can sort of understand prank. But the other two are too difficult for me to tell the difference ...Emotion: sad