#4 Funaki
Funaki had made his debut for Vince McMahon's company before its name changed from World Wrestling Federation to World Wrestling Entertainment. Thereafter, he has won the WWE Cruiserweight and Hardcore championships, spending a good part of 2 decades with the company.
Yet, he has never been in a Royal Rumble match. He has been at a Royal Rumble event, competing in a Cruiserweight Open match for the title in 2006, but has not participated in the actual match.
Funaki is past his wrestling days, working as WWE’s Japanese commentator. Hence, he will never be a part of a 'Royal Rumble' match.
#3 Shane McMahon
Shane McMahon has used his athletic skills to create some of the most memorable and breathtaking moments in WWE history. He has never shied away from taking unimaginable risks, winning the WWE European and Hardcore championships along the way.
McMahon won PWI's ‘Rookie of the year’ award in 1999 and the ‘Feud of the year’ award for his rivalry with Vince McMahon in 2001. He is extremely popular among WWE fans as evidenced by the props he received on his return to WWE after a 7 years of hiatus from the company on February 22, 2016 episode of RAW.
An interesting fact is that Shane has refereed the Royal Rumble match in 1991, but he has never wrestled in the actual match. Only time will tell if Shane will ever run-in to rumble.