FIPS 140-2 compliance and RSA encryption
There's a difference between FIPS approved and FIPS allowed algorithms.  RSA is an allowed algorithm for doing key wrap and key transport, however it's not FIPS approved for that purpose.  It's only approved for digital signatures.
If you're using a FIPS validated module take a look at the security policy for the module you're using and see if RSA is allowed or not for key wrap or key transport.  It must be documented there.  If it's not then you can't use it (and claim compliance) even if it's available in the module.
And no, there are no approved generic asymmetric encryption algorithms, they're only approved for digital signatures.