GSD puppy wants to sleep in the garage. Is this safe and healthy for him?

It is perfectly safe. my friend had a GSD that was the same. He always wanted to sleep in the garage, even if it was below zero outside, so she installed a doggie door from the house to the garage, so he could go in and out whenever he felt like it. Of course you may want to gate off the rest of the house if you are going to be gone so he doesn't run amok in an empty house. And it's fine to leave him outside if he wants to be there. He obviously knows how to get your attention when he is ready to come back in.