Despite reassuring them she was deadly serious, the officers turned up the farm to snout around and find out if she was telling the truth.
Poor Nicky was even forced to prove she wasn't telling porkies about her name, by showing them her passport.
The 50-year-old told the Bristol Post: "I phoned the police and told them one of our pigs had been stolen and I didn't think any more about it.
"It wasn't until I got a call back really rapidly questioning the details I had given them, and then they turned up at my house.
"They were really suspicious. They said that both of my names had made them suspicious it was a hoax.
"On reflection, having the surname Bacon when reporting a pig missing is funny, but I hadn't even thought about my first name.
"I wasn't expecting two police officers to turn up at my door - that's for sure. Apparently it caused a lot of humour at the police station."
The missing piglet was found a day later in a nearby garden.
A man appeared at Bristol Crown Court for handling stolen goods, and was jailed for four weeks.
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