What phrases in Cantonese are thought to be colloquial but are actually used in Mandarin?
唔該 has two meanings: 


"Please" as in 請 (e.g 唔該你幫我開門 -> 請你幫我開門 -> "Would you please open the door for me?")
"Thank you" as in 謝謝 (e.g 唔該晒 -> 謝謝 -> "Thanks so much!")


Other terms are colloquial in Cantonese I can think of off the top of my head:


發夢 is written as 做夢 (dreaming)
老闆/老板 (interchangeable, means boss/owner) is usually written as 上司 (boss) and/or 東主/店主 (owner, usually referring to small business owners), though 老闆/老板 is also in use in Mandarin/written Chinese
行街 is normally written as 逛街 (literally means walking on the streets, usually means shopping)
餸 is normally written as 菜 (means cooking ingredients/cooked dishes here, not vegetables) e.g. 買餸 is 買菜 in Mandarin (grocery shopping), 煮餸 is 做菜 (cooking), 隔夜餸 is 剩菜 (leftovers)
餐牌 (dining menu) is normally written as 菜單
Umbrella is called 遮 in Cantonese, but written as 傘
Jacket/coat is generally called 䄛 in Cantonese, but usually called 衣 in Mandarin


䄛/大䄛 is 大衣/外衣 (outer jacket/coat)
雨䄛 is 雨衣 (raincoat)
皮䄛 is 皮夾克 (leather jacket)

衫 means tops in Cantonese but also used as the general term for clothes, whereas 上衣 is normally used for tops in Mandarin, and the general term for clothes is 衣服
波 is in general written as 球 (e.g. 乒乓波 -> ping pong/table tennis)

In particular, most ball-type of sports use 球 in the name of the sport in Cantonese, such as 足球 (football/soccer) and 網球 (tennis), the act of playing them still use 波: 踢波 (play soccer, literally translates to "kick ball"), 打波 (play ball, the specific type is generally inferred in the context).  In Mandarin, these would normally be 踢球 and 打球.
日 is almost exclusively used in Cantonese when referring to "day", whereas in Mandarin/written Chinese 天 and 日 are used more interchangeably:


今日 (today) -> 今天
尋日 (yesterday) -> 昨天
聽日 (tomorrow) -> 明天
前日 (the day before yesterday) -> 前天
後日 (the day after tomorrow) -> 後天
大前日 (the day before the day before yesterday, i.e. three days ago) -> 大前天
大後日 (the day after the day after tomorrow, i.e. three days later) -> 大後天



There are also many newer terms and names (from the last 100 years or so) where the Cantonese name is phonetically adopted from a foreign language (normally English), or even left as English in Cantonese, but the Mandarin term is either adopted from meaning, adopted phonetically differently due to differences in pronunciations.  For example:


cab/taxi is 的士 in Cantonese, 出租車 (Mainland China) or 計程車 (Taiwan) in Mandarin
bus is 巴士 in Cantonese, 公車 in Mandarin
wrench is 士巴拿 (from British English "spanner") in Cantonese, 扳手 in Mandarin
tie (as in necktie) is usually called 呔 or 領呔 in Cantonese, 領帶 in Mandarin
tire/tyre (as in car tires) is called 呔 (yes, same as above) or 車呔 in Cantonese, 胎/車胎/輪胎 in Mandarin