Here's an example. (Rather than calling it a stupid example, I'll call it an example for which I know no applications.)
Let $A$ be a torsion-free abelian group and $B$ be an injective abelian group. Then we can define new versions of cohomology and homology:
$$
\begin{align*}
F^n(X,U) &= H^n(X,U) \otimes A \\
G_n(X,U) &= Hom(H^n(X,U), B)
\end{align*}
$$
Since $(-) \otimes A$ and $Hom(-,B)$ are functors that preserve exactness, all of the Eilenberg-Steenrod axioms except additivity automatically follow. You get a new "non-additive" cohomology or homology theory with $F^0(pt) = A$ and $G_0(pt) = B$.
For example, if $A$ is infinitely generated free abelian then the wedge axiom fails for $F^*$ because, for example, the first cohomology of $\bigvee S^1$ is $(\prod \Bbb Z) \otimes A$ instead of $\prod A$.
A more important example is typically furnished by $p$-adically completed homology (and similar theories, such as Morava $E$-theories). There, the homology theory should be viewed as taking values in a category of "complete" groups rather than the category of groups. A discussion of this appears in Appendix A of this paper of Barthel-Frankland.