First let me say, what a great dog for a pet... they have soooo much personality! A vet visit is in order to rule out the things talked about above. Where did you get the dog? Have you called them to see what they say? One of my Chihuahua is older and has allergies but I wouldn't try to dx anything like this myself. This is something you want a vet to check to rule out everything that it could be- some are serious, others are not..... Should you find it is an attention getting measure- I actually have a Chihuahua who saw the attention and medication the allergic Chi was getting (think 'treat' to Chi) and guess what, she decided to cough herself- they are so smart. At any rate, to break this bad habit, I put some lemon juice on spoon and said, "Heres some lemon juice" each time she tried that... it only took about 4 times and she has almost stopped this behavior. Now she only does this when my mother visits, (she spoils her). At this point, all I do is ask, "do you want some lemon juice?' and guess what.. no cough...lol...
But, please don't assume anything... take her to be checked the minute you can... call around to see if assistance is avail. in your area as suggested. This could be something that needs attention or it could be minor... better safe than sorry. One thing that came to mind when you said she wakes you was, do you have carpet? If so, do you sprinkle carpet fresh or spray the area? Does she cough outside and inside the home? Does she do this more when she exercises, plays or gets excited? These are some answers that might come in handy at the vet visit. Good luck and enjoy your baby.