I’m too lazy to look, but I don’t think the gospels mention any donkey. Paintings and figurines should not be mistaken for the Gospel.
Nope. Not for the journey from Nazareth to Bethlehem, and not for the journey Egypt. The Gospels don't mention a stable, either. "But where else would a manger be?" you might ask. Ask today's poor husbandmen: the animals, and their food supply, are often in the family living (dining, cooking, sleeping) room. That way they don't get stolen by thieves or eaten by predators.