In nanoscale systems coupled to finite-size reservoirs, the reservoir temperature may fluctuate due to heat exchange between the system and the reservoirs. To date, a stochastic thermodynamic analysis of heat, work, and entropy production in such systems is, however, missing. Here we fill this gap by analyzing a single-level quantum dot tunnel coupled to a finite-size electronic reservoir. The system dynamics is described by a Markovian master equation, depending on the fluctuating temperature of the reservoir. Based on a fluctuation theorem, we identify the appropriate entropy production that results in a thermodynamically consistent statistical description. We illustrate our results by analyzing the work production for a finite-size reservoir Szilard engine.