Over in a comments box at the Shrine, they've come up with a couple of Arian saints recognised by the Catholic church. This seems to be the kind of stuff one could use to taunt ultra-Feeneyites, if that's your entertainment of choice. They've also come up with a monophysite saint.
Within the fold, I'm reminded of St. Cyprian of Carthage whose relationship with the Apostolic See was slightly rocky at the time of his martyrdom. It's also noteworthy that St. Vincent Ferrer was a supporter of the anti-pope Benedict XIII, while his fellow Dominican St. Catherine of Siena was a vigorous advocate of the widely disliked, but validly elected Urban VI.
They're not formally venerated as saints in the Catholic church, but it's of note that several of those martyred along with St. Charles Lwanga were Anglicans. We can also bring to mind many Protestants who gave their life for Christ in the concentration camps of Nazi Germany. Ecumanists have suggested that their sacrifice be recognised alongside that of the canonized Catholic martyrs like St. Maximilian Kolbe.
On a slightly related note (I'm not suggesting he is a martyr or candidate for canonization) there's the curious case of French philosopher Henri Bergson. He was convinced of the truth of Catholicism in the late 1930s, but wasn't baptized. He expressed a desire to be baptized, but due to the anti-semetic persecutions could not bring himself to abandon his people - he made the choice to remain amongst the persecuted and died in 1941, seemingly as a result of privations endured due to his status as a Jew.