Are there any native practitioners of the ancient Egyptian, Greek or Roman religions?
Sure there are. At least, I know Stregheria is. It’s a form of ancient Roman (Italian) witchcraft. In Asia (China and Japan, specifically), many folk traditions and religious practices have survived (not revived) from pre-Christian times. As for the others, it’s likely, but I don’t know for sure. Heck, in Mexico (where my ancestry lies) the native religions didn’t really die out. In many cases, the old ways were combined with Catholicism. But there were some who refused to convert and maintained and passed down much of the pre-Christian/pre-Columbian religions.
In the sense of there being an unbroken, legitimate, non-revived line of worship directly from the Egyptian, Greek or Roman religions, No, the original practices have died out. There are many Reconstructionist or Revivalist groups for these religions (and others not mentioned, such as the Celtic) out there, but they are not unbroken lines of religious practice.
Not to put too fine a point on it, no. Some folkways (witchcraft, for example) may have survived, but the cults themselves are dead, extirpated by the Roman and Byzantine Christian emperors, and in Egypt, most finally by Islam. Nobody sacrifices to the gods any more, or practices the ancient liturgies in the old temples. Some practices, and some continuity in places of worship were adopted into Christianity early on, and it replaced pagan worship for the majority by the 4th-5th century A.D. without any great duress. The classic Graeco-Roman pagan cults were already in trouble by the 2nd century, and people were looking for alternatives. Read Gibbon’s Decline And Fall of the Roman Empire. The situation among the Maya and other Mesoamerican groups is different, and has nothing to do with Greek/Roman/Egyptian survivals. They have syncretized their ancient practices with Catholicism and worship the old gods as Christian saints, burn incense at the old temples, and so on. This sort of thing
