In general, any manifold with positive curvature will probably be closed (there are theorems that involve more specific criteria, I think), so they can't be conformally flat. However, negative-curvature manifolds can generally avoid being closed.
So, I recommend doing the following: Take the ansatz I wrote for a conformally-flat metric, and work out its curvatures in terms of the function ##\varphi##. The Ricci scalar will be related to the Laplacian of ##\varphi##, for example. Next, just choose ##\varphi## to be any smooth function such that the curvature remains negative. You will get a smooth manifold which is probably homeomorphic to ##\mathbb{R}^n## (you may need to check for any non-trivial topology, but I think generically you won't have it). And then you'll have a non-constant-curvature manifold which is conformally flat.