How can anyone prove that any Saint has ever died without receiving the Sacrament of Baptism?
Exactly.
It is just as easy to speculate (even easier if you have the faith) that God provided Baptism to these glorious martyrs through an unseen miracle to supply His requisites for salvation, as it is to use our want of knowledge as proof of its dispensability. What we do not know is not a proof of anything.
If the Church honors anyone as a saint,
according to her own teaching, the presumption must be that the saint was baptized.
Finally, in Who Shall Ascend?, Fr. quotes Brother Francis:
St. Aiphonsus de Liguori tells us that there were approximately eleven million martyrs in the first three centuries of the Church's history. Out of these eleven million martyrs, and the thousands of others which have been recorded since by various Church historians, there are about ten cases in which the martyrs are reported to have died without baptism. In not one of these cases can we assert or conclude positively that these persons were not baptized.