These are mostly jazz-metal:
Fugu Quintet's ‘Sisyphus’ — doom-jazz
Mr. Bungle — funk/alt metal
Le Scrawl — jazzcore / skagrind, they have a bunch of live videos on YouTube and iirc a few short albums on Bandcamp
Zu: e.g. ‘Carboniferous’ — prog/noise-rock, with plenty of sax
Fredrik Thordendal's Special Defects' ‘Sol Niger Within’ seems to have a sax on ‘Cosmic Vagina Dentata Organ’, ‘Z2-Reticuli’, and ‘Solarization’. Though another release has these credits for sax shifted one track back, for some reason.
Ruins the prog-noise-rock band apparently had a saxophonist on ‘Ruins + 梅津和時’ (with Kazutoki Umezu), and also played with Zorn on some releases, but idk which ones.
Shining (the Norwegian one) — might be the closest to what you want
The Flying Luttenbachers use saxes among other stuff
Mamaleek had a sax on ‘Come and See’ (album release here), but it's not heard much