A bunch of things hold references to the materials directly or indirectly.
On the Unity side, that would be the AtlasAsset, and the SkeletonDataAsset via the AtlasAsset.
On the pure-C# side, it would be the Atlas and its AtlasPage and AtlasRegion objects, and the SkeletonData, its Skins and its Attachments via AtlasRegions, and the Skeleton instances using those skins and attachments.
The primary things to clear the references of would probably just be any components that use or keep a reference to SkeletonDataAsset. (this includes SkeletonRenderers, SkeletonAnimations and SkeletonGraphics)