I don't know what might be wrong with him. He has never done this before.

He is just starting to have bad dreams. Just pat him, reassure him. The same way you would a baby waking up crying. He is just a baby.

If he just cried a very short time and stopped when you held, him I would not be concerned. Young dogs may cry when separated from their mothers and litter mates, but this is usually when they are put to bed. As the other poster wrote, he may have had a bad dream. But continued crying at other times would indicate he might have a medical problem and should be checked by your vet.