Lattice problems are a good source of candidates. Given a basis for a lattice $L$ in $R^n$, one can look for a nonzero lattice vector whose ($\ell_2$) norm is smallest possible; this is the 'Shortest Vector Problem' (SVP). Also, given a basis for $L$ and a point $t \in R^n$, one can ask for a lattice vector as close as possible to $t$; this is the 'Closest Vector Problem' (CVP).
Both problems are NP-hard to solve exactly. Aharonov and Regev showed that in (NP $\cap$ coNP), one can solve them to within an $O(\sqrt{n})$ factor:
http://portal.acm.org/citation.cfm?id=1089025
I've read the paper, and I don't think there's any hint from their work that one can do this in UP $\cup$ coUP, let alone UP $\cap$ coUP.
A technicality: as stated, these are search problems, so strictly speaking we have to be careful about what we mean when we say they're in a complexity class. Using a decisional variant of the approximation problem, the candidate decision problem we get is a promise problem: given a lattice $L$, distinguish between the following two cases:
Case I: $L$ has a nonzero vector of norm $\leq 1$;
Case II: $L$ has no nonzero vector of norm $\leq C\sqrt{n}$. (for some constant $C > 0$)
This problem is in Promise-NP $\cap$ Promise-coNP, and might not be in either Promise-UP or Promise-coUP. But assume for the moment that it's not in Promise-UP; this doesn't seem to yield an example of a problem in (NP $\cap$ coNP)$\setminus$UP. The difficulty stems from the fact that NP $\cap$ coNP is a semantic class.
(By contrast, if we identified a problem in Promise-NP$\setminus$Promise-P, then we could conclude P$\neq$NP. This is because any NP machine solving a promise problem $\Pi$ also defines an NP language $L$ which is no easier than $\Pi$.)