The sentence that contains an incorrect pronoun shift is:
"I thought I saw a dog bury their bone under the tree."
The pronoun "their" is used to refer to the dog, which is traditionally singular. A more grammatically correct version would use "its" to refer to the singular noun "dog" (e.g., "I thought I saw a dog bury its bone under the tree.").
The other sentences correctly maintain pronoun agreement with their antecedents.