Something conclusive without bias would be nice, but maybe we just simply don't know for sure.
Actually there have been numerous studies showing that domestic sheep and goats can and do give Pasteurella (the most common form of the pneumonia), along with other various illnesses, to wild sheep and goats. Now whether that is how every wild sheep or goat gets pneumonia or whether every time a wild sheep/goat contacts a domestic one its gonna get sick or not is obviously hard to say definitively. We will never know for every case. But having wild and domestic sheep/goats co-mingling is undoubtedly going to up the chances of infection.
