I’m not aware of any saints that didn’t go to Confession, in the era that Confession was available.
One thing to keep in mind is that confession centuries ago was handled a little differently from confession today. Confession in the early years of the Church was a communal event where you discussed your sins with the community of Christians you were in. It might also be something you just did once in your life, maybe when you were joining the community, or returning after an absence. Later on it became something more along the lines of spiritual direction. It wasn’t until the 1200s that confession began to take the form that we see it today where you go in a confessional and tell the priest your sins in private and get absolution. So we’ve only really had “confession” as we know it for about 800 years, and lots of saints obviously lived and died before that time window.
Also, I believe it was in 1215 that they made a requirement that every Catholic was expected to confess at least once a year. Churches used to even keep track of whether people were fulfilling the requirement. So saints from that era onwards would have at the very least fulfilled the one-year requirement. Being saints, they might have even confessed more often, especially since there used to be a much greater emphasis on confessing prior to receiving the Eucharist, so if you hadn’t made a confession right before then you probably weren’t going to be allowed to receive.