Old question but for others. I think you mean heartworms that can cause a cough. But there can also be a lot of other reasons - kennel cough, influenza, collapsed trachea, or heart disease/murmur. You have a Yorkie, I'd guess either collapsed trachea or heart murmur. Hope they're doing well. Best is to bring them in to at least eliminate the worst possibilities.
My American Eskimo had something similar. She had the mist given to her for kennel cough and she had a bad reaction, which sounds similar with the wheezing and coughing. Could possibly be kennel cough or allergies.
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