Calibrate Watchdog Timer
Not only is it uncalibrateable, but it's actually pretty rubbish (as you've discovered). If you check the datasheet you'll see that it can vary between about 109kHz and 119kHz, even though its nominal frequency is 128kHz.

With the ATmegaXX8(A/P) you can reconfigure the system to run its CPU off the internal RC oscillator and timer 2 from a crystal across TOSC1/TOSC2 (pins 9/10 [DIP] or 7/8 [TQFP]) by setting ASSR[6:5] to 0b01 and changing the CKSEL[3:0] fuse bits to 0b0010. Take careful note of the warning on AS2 in the datasheet though. If you want to use a watch crystal instead of prescaling the existing crystal on an Arduino board then you'll need some soldering skill as well.

If you need crystal accuracy for the CPU as well then you'll need to move up to an AVR family that has a separate asynchronous timer that can be supplied with a watch crystal, such as the ATmegaXX4(P) (Sanguino) or ATmegaXXX0 (Mega/Mega 2560).