Set's curse an underbridge stray

How would interact these 2 cards:

Vampire targets with Set's curse an underbridge stray.

What happens?

Thank you for your answers.

Set's Curse
Serpentis

+1 stealth action.
ser Ⓓ Burn an ally or retainer controlled by any Methuselah to put this card in play; it becomes an animal ally with 3 life, 2 strength and 0 bleed. This ally cannot play action cards and cannot have or use equipment or retainers.
SER As above, but burn a vampire with capacity 2 or less to put this card in play.

Underbridge Stray
Animalism

Animal with 1 life. 0 strength, 0 bleed.
ani This ally can burn 1 life to give a minion you control 1 press. During an action directed at you (or a card you control), you can burn this ally if it is not blocking to unlock a ready minion you control.
ANI As above, but this ally has 2 life and 1 strength.

I understand that in your question, the controller of the stray burn it to unlock a minion ?

If it is the case, then the Set Curse no longer has a valid target and so it will fizzle if not blocked.

yes, its the case