We have a lot of stories about Our Lord, the Blessed Virgin and Saint Joseph.
When the Blessed Virgin heard that Hrod's soldiers were looking for Our Lord to kill him, she left Palestine and went to Egypt. On her way she got tired and she sat down under a bush.
She was not long there until she heard a noise coming and she knew it was the soldiers that was coming so she prayed to God to help her.
When the soldiers came up they asked the Blessed Virgin what had she in her arms and she said it was a lamb, so they asked her to show it to them.
The Blessed Virgin opened her cloak to show them what she had in it. But instead of it being Jesus it was a little lamb.