Pope St. Sixtus II, mentioned in the Canon of the Mass, was the first martyr actually put to death in the catacombs themselves. Under the Emperor Valerian (258) he was beheaded on his throne just as he finished Mass. His four deacons were put to death with him, and two others, Felicissimus and Agapitus, were decapitated the same day while St. Lawrence, the archdeacon, was put to death three days later.
(Source: The New Roman Missal, Rev. F. X. Lasance)