However, while I can't think of anything of the top of my head, I find it hard to believe no Pokemon has any clear base in any kind of mythology besides Japanese.
There are many that aren't based on Japanese mythology:
-Magikarp/Gyarados are based off of chinese legend.
-Natu/Xatu are a bit of a mix of north american native culture (in terms of appearance) and apparently something to do with an Aztec god (though just in the english name).
-Kyogre/Groudon/Rayquaza are possibly the hebrew Leviathan, Behemoth and Ziz
-Nosepass is a lot like the Easter Island Moai statues. It looked the part a lot more back in gen3 sprites though.
-Delibird is clearly an homage Santa Claus, who is celebrated in japan, but isn't japanese in origin.
-The Regis are based on golems, again Hebrew.
-Absol is either japanese or english, but I'm going to guess it is based on the japanese version of the story.
-Rampardos and Bastiodon are based on the unstoppable force vs. immovable object paradox, unclear origin on this although there is an old chinese story involving a peddler trying to sell a spear that can pierce any shield and a shield that can deflect any blow.
-Abomasnow is based off the Yeti which is kind of a worldwide legend with no clear origins. The Abominable Snowman for which it is named is yet another variation on the yeti story simply renamed by different people.
A few others are difficult to place because there isn't a clear origin (in the case of Torterra's world turtles) or it would be arguing semantics like in the case of Infernape, who is based of Son Gokou who is just the japanese version of a chinese story. One could argue that Arseus is simply another version of that one story that has been floating around for a long long time. You know the one I'm talking about, the one the bible "borrowed" and the church claims is fact but thats a story for another time.
Anyway this is what I came up through one run of the pokedex as well as combining bulbapedia and google, so take it with a grain of salt if you must. But I think it shows that not everything mythological in pokemon is purely Japanese.
These are just ones based on some sort of quick glance mythology as well, ignoring the stuff based strictly on nature which may or may not be present in Japan.