I think the Borg would be able to perform experiments based on combinations of knowledge they've already got from different species. For example, if they use knowledge from Species A to do an experiment but it fails because of too many alpha particles, and Species B has knowledge that the Borg assimilated about how to stop alpha particles, then they could combine that knowledge and successfully perform the experiment.
But I doubt they'd have the capacity for pure original research. Maybe the Queen, but the drones operate on little more than instinct.
But they would have had to have it at one point in the distant past, back before they were all cybernetic, back when they were mostly organic.