If I want to say:
I THOUGHT (I no longer think that) that you called me～
Would it be okay to say:
(edit) or maybe:
I'm not very sure, I think I have never read such a double past in japanese.
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The double past is possible in Japanese, but it works differently from English. The Japanese language is based on relative tense. In general, the double past is used in Japanese when two different time points in the past are relevant. See this answer too.
In your case, 呼ぶ refers to an action that happens (or happened) instantly, so the examples above may not seem tricky. But note that 呼ばれたと思った is about two times points in the past (i.e., When someone thinks "Oh I was called", it means someone has already finished calling him).
However, you have to pay attention especially when a subordinate verb refers to state. See: Tense and conjugation: いないみたいでした v.s. いなかったみたいでした You would see differences when 呼ぶ is used as a progressive verb: