Pets are very low percentage drops. In getting seven characters through Wizard City and doing every single quest, I got a grand total of one pet drop (not counting the Penny Dreadful pet that was added later). In getting the same seven characters through Krokotopia, I got one pet drop. Same seven characters for Marleybone, again, one pet drop. My guess is that if you have one character clear the entire game and do every single quest, the expected number of pet drops you get is less than one.
The best pet isn't a drop, though. Get the one of the 50 health/50 mana pets from Zeke in Wizard City, or for several thousand gold in the Wizard City pet shop.
Hang in there. You will eventually get a pet. After many many many wizards and quests and worlds...my Balance Wizard discovered a Clockwork Golem pet in my backpack! I was sooo excited. Look at my join date! It will happen eventually.
You can farm if you really want a pet. Search the forum for "pets" and you can find the boss that has the pet you want. Keep battling him until you get it.