They martyrology is full of saints who were martyred as catechumens before they were baptized.
The CMRI only lists two such martyrs:
January 23: At Rome, St. Emerentiana, Virgin and Martyr, who was stoned by the heathen while still a catechumen, when she was praying at the tomb of St. Agnes, whose foster-sister she was.
April 12: At Braga, in Portugal, St. Victor, Martyr, who, while still yet a catechumen, refused to worship an idol, and confessed Christ Jesus with great constancy, and so after many torments, he merited to be baptized in his own blood, his head being cut off.
http://www.cmri.org/02-baptism_blood-desire_quotes.shtmlDoes the phrase "while still yet a caechumen" prove that the person in question was
not sacramentally baptized? Was it possible to be a "catechumen", that is, someone "in training" for the Catholic faith, and yet still have received sacramental Baptism?
In any case, we're into trying to "prove negatives," again. Even in the case of Emperor Valentinian, we could assert, if only as a
possibility, that he was, in fact, sacramentally baptized prior to his death and that Saint Ambrose was simply ignorant of that fact.