Yes, there are other string theories or CFTs where the "target space" is, for instance, the group SU(N), and these are called sigma models.
Anyway, in the sector that the 2D CFT is free (i.e., non interacting), each field living on it will cause an anomaly to appear that (seems to) break conformal invariance. It contributes a number to the trace of the energy momentum tensor (which needs to be zero for conformal invariance to hold). Generally commuting fields add to this number while anticommuting fields subtract from it. So as soon as you add one field to your CFT, you'll need to add another to cancel the anomaly.
I think an arbitrary (but probably not the most general) free CFT will have some # of commuting scalars, some # of anticommuting scalars (ghost), some # of commuting spinors (ghosts again) and some # of anticommuting spinors. These fields are all representations of the 2D poincare group, so that's why we pick them. You can then pick these numbers so that the anomaly vanishes. I believe the solutions are 26 commuting scalars and no anticommuting spinors, 10 commuting scalars and 10 anticommuting spinors, and some really funky solutions which I don't know much about (N = 2 and N = 4 worldsheet supersymmetry, for those who are keeping track).
So in a sense, the Lorentz symmetry is sort of along for the ride. If you write an action
S = \int\!d^2\sigma\, \sum_i \partial_\alpha \phi^i \partial^\alpha \phi^i
then this is the action of some number n of scalar fields. But you get an SO(n) symmetry for free. There are some important subtleties why the metric happens to be SO(n-1, 1) rather than SO(n), and I'm not quite sure I understand these, (it has to do with Weyl invariance), but that's another story.