No Dig option in Dogecoin-QT?
Yes, it was removed in an update. The developers have decided to hide it as a way to discourage users from wasting CPU time. CPU mining this big of a coin will get you no where.

It's suggested to mine using an external mining program like CGMiner or practically any miner recommended for Scrypt. Check out Litecoin wiki's Mining Software list and look into Scrypt mining guides such as the Dogecoin wiki's 'Beginners guide'.