I do not know of any. I know that some asteroids (and one famous dwarf planet with a dog name) have satellites.
One problem may be a gravitational tug of war.
For example, using the equation for the force of gravity:
F = G*m*M / d^2
It is possible to calculate the distance around each planet where the force from the sun equals that from the planet. Inside this distance, the planet wins the tug of war; outside this distance, the Sun wins.
In general, planets do not have "natural" satellites outside this limit. By natural, I mean satellites that would have formed in orbit around the planet. The one big exception is our Moon, located well outside Earth's limit. That is the main reason why some people refer to the Earth-Moon system as a double planet (but it is not, according to the proper definition).
Around the giant planets, there are a few small things that orbit just a bit outside this limit. They are obviously captured asteroids, not satellites that formed at that location.
If you do the same kind of calculation for satellites, you can calculate the distance at which the satellite's planet wins and the distance at which the Sun wins. The satellite only wins inside the smaller of the two and, in all the cases where I did the calculation, this distance is small -- very small. Plus, the interference from the planet (and the Sun) would constantly change the "satellite's moon's" orbit enough that it would eventually crash or go on its own orbit around the planet.
So, even if it is not impossible, the calculations do convince me that it would be improbable.
We have placed satellites around our own Moon, but they were always temporary things.