In A Fire Upon the Deep at the beginning I distinctly remember a mention to the Sculptor Galaxy.
Do they ever make another reference to a galaxy outside the Milky Way, or is this the only one?
Large and small Magellanics count as galaxies despite being satellites of the Milky way:
Relay was now the main intermediate to the Magellanics, and one of the few sites with any sort of link to the Beyond in Sculptor.
Searching on the term galaxy turns up just those three, plus the Milky Way. Sculptor itself may be a ref to the constellation (area of sky) rather than a particular galaxy or galaxy group.
No, there are no references to anything outside of the Milky Way galaxy (and we know that it's the Milky Way because humans exist within it, humans from Earth).
When it talks about the gods/deities from the Transcend, it mentions that they tend to stay away from the intergalactic void, and Vinge hints there are things even more powerful than them.