I exclude saints, I invent saints, I include saints. . . and I give existing ones new patronages, too.
High fantasy Christian milieux have me having an interesting time with saints. Obviously I don't include Renaissance or later if the milieu is medieval-ish, and I tend to avoid ones within the era most closely equivalent.
But the other world would, no doubt, have other saints.
I think I should avoid putting the same imaginary saint into two different world, to avoid their being confused. Such is the logic of world-building.