A chronic skeptic or a person who habitually doubts, so named after the Apostle Thomas.

the Apostle who would not believe the resurrection of Jesus until he saw Jesus with his own eyes

One of Jesus's disciples. When he was told of Jesus's return from the dead, he demonstrated an appropriate degree of skepticism. Jesus said to him, "Blessed is he that has not seen, but believes anyway". In other words, believe anything you hear, no matter how far-fetched. Then they wonder why people tend to become less religious as they become more educated.

someone who demands physical evidence in order to be convinced (especially when this demand is out of place)