Since the 1950s, the screening of the body volatilome has proven to be a powerful tool for preventing diseases from spreading. Following the COVID-19 crisis, several studies began investigating the connection between viruses and the body volatilome, gradually identifying potential biomarkers, which varied depending on the study. To try to elucidate potential sources of inconsistency in biomarker findings, we decided to set up a study taking into consideration the factors often overlooked in previous studies. The VOCs constituting the body volatilomes of 40 COVID-19 patients and 13 healthy subjects were sampled by using PowerSorb® as the sorbent phase. Thermodesorption, followed by comprehensive two-dimensional gas chromatography combined with time-of-flight mass spectrometry (TD-GC×GC/TOF MS), was utilized for the analysis. A non-targeted biomarker research methodology compared Covid(+) and Covid(−) chromatograms, assessing statistical significance and peak area changes. Out of the 25 compounds highlighted, 13 associated with cosmetic products were excluded, and 8 linked to air pollution in urban settings were also excluded. Finally, after having quantitatively evaluated the potential sources of the compounds (cosmetic or environmental), 4 compounds remained and their relevance was assessed using ROC curves. Among them, hexanoic acid, 2-ethyl- identification was confirmed with standard and led to an area-under-the-curve value of 92%. More in-depth studies are needed to investigate the specificity of the biomarker in relation to COVID-19, but the strategy of this study shows how to avoid obtaining data that are biased by exogenous factors.