I was reflecting on the large amount of energy released in the black hole merger GW150914. The black holes were about 36 and 29 solar masses, with the resulting black hole being 62 solar masses and 3 solar masses radiated as gravitational waves. This made me wonder, can the generation of gravitational waves violate conservation of baryon number? (It seems to be the case here, assuming the black hole energy is/was baryonic in origin, though I know that might not have anything to do with the gravitational waves, maybe it's the no-hair theorem saying black holes don't count baryons.) I understand that this is supposed to be an approximate conservation law (though I don't know its Noether corresponding symmetry) so this would not be crazy, but I wasn't aware of any baryon nonconservation otherwise.
Baryon non-conservation is the basic unsolved problem in the standard cosmological model where particle physics is not providing an answer. Our universe is primarily made out of baryons, and the standard model of particle physics used after the inflation period at the quark gluon etc stage, before the formation of protons, predicts almost equal numbers of particles and antiparticles. It is an open research question. See the answer in this link to a similar question
In the standard model of particle physics there is measured a CP violation . But it is not enough to explain why our universe is made mostly out of baryons.
Now as far as black holes merging and energy appearing in gravitational waves, the problem of baryon number is not relevant. Gravitational waves consist of gravitons (in a quantized theory of gravity) which just carry spin and energy momentum and couple gravitationally, similar to photons. An incandescent lamp does not lose baryons when it gives off light which consists of photons. In an analogous way gravitational waves are emitted by the merger, and the merged black hole will have the sum of baryon number of the two incoming ones ( conditional on the solution of the conservation of baryonic number problem described above).
As the quantization of gravity is in the research stage, the question of conservation of laws at the singularities is still an open question. Certainly the final theory should contain the explanation of the baryon asymmetry observed in our current universe, but it is a different story than gravitational waves.