When anwering a recent question about real-life parallels to the Night's Watch, one question sprang to my mind: Is there any non-Westerosi in the Night's Watch? Are all soldiers from the Seven Kingdoms, or are there any soldiers from Essos (or other non-Westerosi areas)?
There are at least two that are shown in the series itself.
It appears as though Ollo is from Tyrosh and even mentions about trying to get back there after joining the Night's Watch.
Ollo Lophand now, he was talking about sailing back to Tyrosh, where he claimed men didn't lose their hands for a bit of honest thievery, nor get sent off to freeze their life away for being found in bed with some knight's wife. Chett had weighed going with him, but he didn't speak their wet girly tongue.
A Storm of Swords, Prologue
Jaqen is from the Free City of Lorath, at least that face was, so there is precedent for Essosi joining the Night’s Watch even if Jaqen never made it.
"A man must be ashamed of the company he keeps, Arry," the handsome one said. "This man has the honor to be Jaqen H'ghar, once of the Free City of Lorath. Would that he were home. This man's ill-bred companions in captivity are named Rorge"
A Clash of Kings, Arya II