Sure. Lots of them.
And lots of Catholics too.
There is a huge difference between being IN the covenant and being OF the covenant. There are LOTS of people in even the most Spirit-filled churches that can hear the Gospel over and over and over and never have it never touch their heart. This is why so many Catholics "get saved" by leaving the church and why so many Protestants "come home" never having heard the Gospel where they grew up.
I'm not claiming it wasn't preached properly... they just weren't open to it at the time. The church we often attend here (my wife grew up Baptist) is a "non-denominational" Bible church where the pastor never lets a service end without giving a simple Gospel message (kind of like an altar call but without calling them to the altar), yet just last quarter we had a baptism service where a 25ish guy went on about never having "heard" the Gospel until he got to the last year of college - but he had atended this church about every Sunday since he was a kid! (The pastor did a good job of not being too depressed - you know, the whole plant, water, sow thing).