It looks like the What's in the Bible people have a "Christmas story" video ...
It came out in 2013. I don't recommend that particular DVD. It's too long-winded, especially for younger children.
I used What's in the Bible? CHRISTMAS DVD to a group of my kids who had been dropped off at our all-day "Christmas shopping day" event. They got bored 15 minutes into it, -and so did I. For some strange reason it meanders and doesn't have half the energy that the other DVDs in the series do.
I LOVE to teach with the other DVDs in this series (based on books of the Bible). Kids love them too. But their special Christmas DVD was not their best effort.