I'm not sure it entirely counts as a confounding variable so much as confounding situations, but animals' abilities to find their way through a maze may qualify.

As described in this ScienceDirect summary, studies of rats (or other animals) in mazes were popular for a large part of the 20th century, and continue today to some extent. One possible purpose is to study the subject's ability to remember a maze which it has previously run; another popular purpose is to study any bias in the subject's choices of whether to turn left or right at junctions, in a maze which the subject has not previously run.

It should be immediately clear that if the subject has forgotten the maze, then any inherent bias in choice of route will be a confounding factor. If the "right" direction coincides with the subject's bias, then they could find their way in spite of not remembering the route.

In addition to this, studies found various other confounding features exist which might not have been considered. The height of walls and width of passages are factors, for example. And if another subject has previously navigated the maze, subjects which rely strongly on their sense of smell (mice and dogs, for instance) may find their way simply by tracking the previous subject's scent. Even the construction of the maze may be an issue - animals tend to be less happy to run over "hollow-sounding" floors.

Many animal maze studies ended up finding confounding factors instead of the intended study results. More disturbingly, according to Richard Feynmann, the studies reporting these confounding factors were not picked up by researchers at the time. As a result we simply don't know if any animal maze studies carried out around this time have any validity whatsoever. That's decades worth of high-end research at the finest universities around the world, by the finest psychologists and animal behaviourists, and every last shred of work had to at best be taken with a very large spoon of salt. Later researchers had to go back and duplicate all this work, to find out what was actually valid and what wasn't repeatable.