Initially, I woulda said "hair. No question."
A "wild hair" is a hair that grows in an unexpected or inappropriate place (say, off the ear or the tip of the nose, etc.), isn't it?
Therefore, having a wild hair up one's arse would be: A: an unexpected or inappropriate place for a hair; and therefore B: most likely annoying or vexing (causing one to act in irrational and wildly erratic ways - thus the query: "do you have a wild hair up your @ss or what?)
Similar to getting one's nickers in a bunch.
A wild "hare" squiggling around on the wrong side of a sphincter (well, let's be honest, in this scenario, is there a correct side?), however, would seem to also to be annoying and/or vexing for many, many reasons. Indeed, it would seem, emotionally at the minimum, to be much worse.
Therefore, I am now forced to admit complete ambivalence.
I remember some stories about gerbils - probably unrelated.