Jefferson Davis said that the South would fight to the “last ditch,” and it was openly discussed after the administration fled Richmond in 1865. The War Department considered the move, and various Confederate detachments surrendered long after Lee at Appomattox, the most famous being the Cherokee General Stand Waite in June 1865. I am not sure if a prolonged guerrilla campaign would have achieved victory. The U.S. Government considered anti-Republican efforts during Reconstruction to be a bushwhacking effort. I don’t think Southern morale was high enough in 1865 to support a longer open struggle.