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Sophia is first of all the Greek word for “wisdom,” and it is used as a title for God, especially God the Son, and so churches in the Christian East that are named St. Sophia or “holy Wisdom” are dedicated to the Savior. Among the saints, there is St. Sophia and her three daughters named Faith, Hope, and Charity. The daughters were martyred according to tradition under the emperor Hadrian at Rome, and St. Sophia died soon after from the stress of being required to witness her daughters’ tortures. The feast of St. Sophia is August 1 or September 17 according to the Latin and the Greek calendars, respectively.
There is another St. Sophia, a martyr in Italy commemorated on April 12, and there is a new martyr of the Spanish Civil War whose commemoration is on September 23, Bl. Sophia Ximenez, a wife and mother who died along with two Carmelite nuns in 1936. So you have your pick of three saints and the Savior himself. Of course, the name Sophia is also given to honor the Blessed Mother who is the Seat of Wisdom.