I don't know of any formal, cut-and-dry list, but I own a book called אוצר אישי תנ"ך, by יש"י חסידה. It is a gold and black book, and is a compendium of named personalities in Tanach, which cites their discussion and appearance all over rabbinic literature, Midrash or Talmud. I bought it at my local judaic bookstore.
It brings sources about their person, lives, and deaths, if there are sources that discuss them outside of the verses. It includes not only prophets, but anyone of note.
It also cites their occurrence in the verses, so if there are no sources that explicitly mention their death or persecution, you can easily find them and in scripture. If hebrew isn't your strong point, I'd recommend The Artscroll Stone Tanach. It has translation, along with bullet points of important events in the margins, and interesting tidbits in footnotes, all in english.