"The old Syrian martyrology gives the feast of a St. Pelagia of Antioch (in Antiochia Pelagiæ) under the date of 8 October.
Pelagia was a Christian virgin fifteen years of age. Soldiers came in search of her, evidently during the Diocletian persecution, in order to force her to offer publicly a heathen sacrifice. She was alone in the house, no one being there to aid her. She came out to the soldiers sent after her and when she learned the order they had to execute, she requested permission to go again into the house in order to put on other clothing. This was granted to her. The virgin who probably knew what was before her was not willing to expose herself to the danger of being dishonoured. She therefore went up to the roof of the house and threw herself into the sea. Thus she died, as St. Chrysostom says, as virgin and martyr, and was honoured as such by the Antiochene Church. St. Ambrose also mentions this Pelagia of Antioch ("De virginibus", III, vii; Epist. XXVII, "Ad Simplicianum", xxxviii)."
(you can read some other detail here).
St. Pelagia of Antioch was cannonised after commiting suicide. But the catholic church will not admit euthanasia.