Just to clarify, the meaning of the song is that people of Britain will never be slaves, its not a claim that all individuals within it are unslavable. Good luck with the search.

Frederick Maning tells a story in Old New Zealand (end of the second paragraph) about an Englishman that was a slave in New Zealand. Maning was with a ship that was going around trading when they met the slave, who asked them to buy him. However as his owners were asking for a musket in return, and the only person on the ship with a musket preferred to buy something else with it, they just left him. Maning doesn't give a date, but I would guess it was in the 1830s, given that he arrived in New Zealand in 1833 and I have trouble seeing the story occurring after the Treaty of Waitangi in 1840 and the subsequent expansion of British authority and massive Pakeha immigration.

This is unlikely to be the last occurrence of a British subject being a slave, but it's not that long ago, so probably not a bad place to start. I'm not sure that it really meets your standards for 'state' or 'legally' either, but slavery was definitely 'customary' and accepted in Maori tribes so it's fairly close to 'legal'.

Just to clarify ... Are you counting indenture?

You can be legally recognized as a slave?