My pup did exactly the same thing when I got him! He had a high pitched cry and yelp that scared me into thinking that my neighbors would report me for animal abuse. I eventually just gave up and let him sleep with me. Granted I did have to get up at 5 or 6am to let him out but it really did help him feel more comfortable. He learned to wait for me and he stopped getting up so darn early in the morning. However, that has kinda changed because of my new place...................