However, several other AEW stars have never won the Royal Rumble match despite competing in the showdown multiple times in their careers. Here are 4 top AEW stars who have never won the Royal Rumble match:#4. But despite all that success, he never managed to win the Royal Rumble match in his career. While Lashley managed to be a power player in WWE, his impact in the Royal Rumble match had never been much greater. Mercedes Mone has never won the Royal RumbleAdAdMercedes Mone has an interesting history with the Royal Rumble matches.