• The Vatican (a "country" on paper; but seriously?)
• The Sovereign Military Hospitaller Order of Saint John of Jerusalem, of Rhodes and of Malta (not to be confused with the country of Malta; this lot have no territory)
• The Organisation of African, Caribbean and Pacific States
• The African Development Bank
• The Andean Community (another free trade area)
• Both the Commonwealth of Independent States (former soviet bloc) and the Commonwealth of Nations (former British Empire)
• The International Olympic Committee
…
The list of organisations sending delegations is pretty big, even just limiting to the ones important enough to get into Wikipedia; you can probably find a whole bunch more of small ones.
https://www.eeas.europa.eu/delegations/un-new-york_en?s=63