Are there any natural satellites in retrograde Sun orbit?
Yes, there are, but they are very rare.

Wikipedia has a list of retrograde asteroids, and mentions:


  As of September 2016, of the more than 700,000 minor planets known, there are only 95 known retrograde minor planets.


That means only 0.014% of known minor planets are in a retrograde orbit.

The asteroid with the highest known inclination is 2013 LA2, with an inclination of reportedly (175.189±0.007)° according to the JPL small-body database browser.