The OPs question was, “…do we have any actual canonized Saints who died from baptism of blood or baptism of desire?”
Yes and no. The records are scanty.
Our Eastern Orthodox Brethren hold that St. Christina of Tyre most likely was not baptized with water before her martyrdom, but again, those records have come to us more as legend than evidence.
Ultimately, the only answer is that the disposition of our souls is left to God. We try to trust in His mercy without presuming upon His grace.
Many early Martyrs do not have their names recorded in the “parish rolls,” ( ) and we can only believe that if a saint is NOT noted to have had a water baptism, then he or she received a Baptism of Blood or Desire.
Many early Martyrs, such as the Holy Innocents, do not have a canonization date because they were canonized pre-congregation:
Also see the Wiki here:
en.m.wikipedia.org/wiki/Congregation_for_the_Causes_of_Saints, especially the section on pre congregation saints.
There are many early, locally known, not universally recorded saints whose lives cannot be investigated according to to modern standards of canonizations.
The first reason is that we are separated by centuries from accurate information and witnesses. Second, the early Church did not have a lengthy process or an established congregation to investigate. Wiki explains more succinctly: “Pre-congregational saint is a term for a saint whose beatification and/or canonization occurred before the institution of the modern investigations performed by the Congregation for the Causes of Saints (i.e. pre-11th century). It designates those who were canonized by local bishops, primates, or patriachs, often as a result of a local custom, veneration or devotion.”
Third, before the Church was more federated in its administration, people were declared saints by the local ordinary or via popular piety. Many of the oral traditions (very few were written, depending on the era, culture, and education of the local people) became pious legends (such as the stories which surround St. Rosalia or St. Christopher).
Also, in more recent times, due to war and violence, evidence of miracles, records such as life stories, and lists of witnesses have been destroyed. Consider, though, even without this information, some saints are still declared; I’m thinking specifically of the 118 Vietnamese Martyrs.
Interestingly, even after finding no concrete evidence because of war, some apparitions are still declared worthy of belief, such as Our Lady of LaVang.
Incidentally DavidFilmer, the names of St. Charles’ companions are certainly recorded: ugandamartyrsshrine.org.ug/index.php?ID=9