Duke of Windsor did, Prince Michael of Kent did.
For the matter. Prince Richard, Duke of Gloucester (who as senior member of the House of Saxe-Coburg-Gotha, is in the line of succession - 20th, right after 12yr old Master Arthur Chatto) married Birgitte van Deurs, daughter of Asger Henriksen and Vivian van Deurs. (Danish)
Marrying non-British, it was done all the time earlier....Henry VIII’s first unfortunate wife was from Spain, Queen Mary married Philip from Spain, Queen Victoria’s husband was German(??) etc. I think they draw the line at American divorcees, though :)