Imagine you are a catechumen. You are told by Roman authorities to either bow to a statue of their emperor or they will execute you on the spot.
Roman persecutions did not happen, non-stop for 300 years. Certain roman rulers didn't persecute Christians. But when bad rulers started persecutions, it was enacted by law. Christians were outlawed and everyone knew it. In those cases, catechumens WERE BAPTIZED (because the Church wanted them to be saved). And those BAPTIZED catholics were STILL CALLED CATECHUMENS.
That's why they had the graces for martyrdom.