Atleast when I was younger I always felt like I could point towards north within 20-30 degrees at any time. I tried testing it out many times, and was right the vast majority of the time, even when trying to eliminate possible subconscious factors like sound reflections and what surface I was standing on. We do technically have the right associated nerves and structure for it, but obviously underdeveloped compared to animals who use it to live and survive, so I would totally believe it is possible to some extent, atleast among some people.

I would attribute part of it to practice, because when I was younger I spent a lot of times in the woods where you can easily get turned around following animal trails and skirting around obstacles, and finding your way back out accurately was extremely helpful.