EDIT 3: Damn, I have no idea how I was missing it, but it was so obvious.

I wasn't giving a specific record, that's why the method was not called properly. 

Correct solution is this:

def wizard_custom_action_confirm(self):

    return {'type': 'ir.actions.act_window',
            'res_model': 'my.model.name',
            'view_mode': 'form',
            'target': 'new',}

And then in the wizard model what I was missing was:

def btn_wizard_confirm(self):
    self.env['sale.order'].browse(self.env.context.get('active_id')).action_confirm()

Of course I use much more data in my model, but basically i was missing the browse() for the identification of the record.. I usually know it but this time I was missing it for some reason.. Well it's working perfectly now, in the end I decided to use a custom button, not the original one, so I open the wizard and then in the wizard when confirm button is clicked I can simply call the action_confirm() method.

-------------------------------------------------------

Hi!

I want to achieve a custom "confirm popup" that also show some info to the user before the user confirm the Invoice into a sale order (so I can't use confirm attribute) but I can't make it work properly.  

First thing I thought was to make a function that simply returns the action that triggers the wizard, like this one 

return {'type': 'ir.actions.act_window',
        'res_model': 'my.model',
        'view_mode': 'form',
        'target': 'new', }

and call this function in the override of action_confirm() button. Wizard is working fine by itself, but If I call it in the action_confirm() the wizard is not popping up. I'm pretty sure that I'm missing some basic programming concepts here, but can't figure out what i'm missing..

So now I'm trying another way, this allow me to trigger the Wizard but it's not working as expected aniway: 

I made another confirm button, a custom one that triggers the wizard (type=object). 

When I click on confirm button in the wizard, I call self.env['sale.order'].action_confirm().

I tried to check with debugger and I don't even think that the action_confirmed() method gets invoked, but if I override the method in my inherited sale.order model than I can call my override action_confirmed() method. So I tried to call the super() in my action_confirmed() override, but it seems that I'm not able to call the super().

Can some one please explain me what am I missing? Thank you and I hope my description is clear, I will post some code down there.

CONFIRM CUSTOM BUTTON:

def action_confirm_wizard(self):

    print('action wizard')
    return {'type': 'ir.actions.act_window',
            'res_model': 'my.model',
            'view_mode': 'form',
            'target': 'new', }

action_confirm OVERRIDE:

def action_confirm(self):
    self.action_confirm_wizard()
    print('action_confirm')
    super(SaleOrder, self).action_confirm()

And then I have the model of the wizard and the view:

wizard model:

# -*- coding: utf-8 -*-
from odoo import models, fields, api, _
from odoo.exceptions import UserError

class TodoWizard(models.TransientModel):

    _name = 'my.model'

    def btn_confirm(self):
        print('button wizard confirm order')
        self.env['sale.order'].action_confirm()

    def btn_2(self):
        print('button wizard 2')

    def btn_3(self):        
    print('button wizard 3')            
Thank you.    

EDIT: Oh, I solved it but I still not understand why it works, I will have to study how the super() call works because I clearely didn't understand it. 
I thought I had to call the wizard function before the call to the parent method because I thought all the instruction of the
parent method were executed when you make the super() call, but it wasn't working.

Instead I just put the super() at the beginning, then simply returned the dictionary with the action.act_window values values.. and it works!
The wizard pop up and suddently, only when i press the confirm button in the wizard, the parent method action_confirmed() get executed properly.
I have tried this first in my custom button, then I've tried it in the Odoo confirm button, and it works just fine.
Awsome! 

So this is the code, just a little disappointing for me that I have no idea why it works this way.

def action_confirm_wizard(self):
    print('action confirm wizard')
    super(SaleOrder, self).action_confirm()
    return {'type': 'ir.actions.act_window',
            'res_model': 'my.model',
            'view_mode': 'form',
            'target': 'new', }