Various areas in Arkansas, Tennessee, Alabama, the western Carolinas, northern Georgia...primarily the "hill folks" where slavery wasn't so common because the terrain (mountains) weren't profitable for large plantations...there were divided loyalties between pro-Union and pro-Confederate neighbors. In some cases... western Missouri and the Ozarks of both MO and Arkansas...these became bitter and bloody feuds stirred by guerillas who used the war as an excuse to plunder both sides.
The "Union" wasn't exempt, although further east there was less buring, looting and plundering where anti-war and/or Confederate sympathies were present in the southern reaches of "union states" (Indiana, Illinois, Ohio)there were still plenty of problems.
My own ancestors in Hunt County (Greenville area) of north Texas were apparently involved in some of the activities ... lynchings, burnings, etc... of pro-Union neighbors in the area along and south of the Red River.
So, there's no wonder that the Indian Nations with their long history...and memories...of the white man's perfidity and their own bitter internal struggles dating back long before the "Trail of Tears" forced them westward...were split between loyalties to the Union and loyalties to the Confederacy. That would be worth a book, in itself, about their participation in "THE Wah."