The Confederates that went to Brazil were called Confederados. Some stayed in Brazil and there descendants remain today, particularly in the town Americana. Others gave up and came back to the United States. See:

The Confederados: Old South Immigrants in Brazil
The Lost Colony of the Confederacy
The Elusive Eden: Frank McMullen's Confederate Colony in Brazil

Auburn University Archives has a Confederados collection, and some of these letters have been digitized:
http://www.lib.auburn.edu/archive/find-aid/958.htm
(I edited a journal by a Gonzales County man whose wife was a wartime teacher of one of the future Confederado girls, and some of these letters mention the family)

I found another title on Mexico:
The Lost Cause: The Confederate Exodus to Mexico

I don't know if it has a roster, though. I would suspect that even if you found one, it would probably be incomplete, because there were several attempts at colonies in both countries, some may have only stayed a short time, some may have died/been killed fairly soon--lots of reasons not to show up on a list compiled probably well after the fact. But I hope you can come up with something!

Vicki Betts