Pro tennis players

Nope and seems like it probably won't happen for awhile given the tour that we have today and them considering mandatory tournaments in countries where being gay is outlawed. I do think we will probably get a player within the next 10 years come out (well after they retire though).
I highly doubt a country is going to lock up an openly gay tennis player for simply playing tennis in their country. It's not like they're going to be performing sex acts on the court. Even if they did, then those countries can kiss those tournaments goodbye because the ATP and WTA would pull every tournament from that country in support of that player.

With all the energy the ATP/WTA have been putting in these campaigns about inclusion, they would have no choice but to withdraw those tournaments from those countries or they would be viewed as hypocrites and not caring about their players.