The Gnosis Safe currently only supports collectibles that follow the ERC721 token standard 100%. That causes some collectibles not to show up in the Gnosis Safe web interface and mobile apps. The Safe contracts can handle arbitrary tokens. It's just the interfaces that don't display them.
Some collectibles seems to be ERC721 tokens, but made slight modifications. The most popular example is CryptoKitties.
Some collectibles use the ERC1155 token standard which the Gnosis Safe interface doesn't support as well, currently.
Truly ERC721 compatible collectibles can be transferred directly via gnosis-safe.io/app/. All other collectibles can be transferred via direct contract interaction (if you are a technical user and know what you are doing) or via OpenSea as the following guide explains:
How to transfer collectibles out of your Safe via WalletConnect and OpenSea.
You have probably noticed that OpenSea shows the complete list of your collectibles. e.g. https://opensea.io/accounts/0xA063Cb7CFd8E57c30c788A0572CBbf2129ae56B6
1. Open OpenSea
2. Open your account settings
3. Click "Use a different wallet".
4. Choose WalletConnect.
5. Now connect your Safe to OpenSea. Another help center explains how to do that via the WalletConnect Safe app.
6. After connecting your Safe, open the collectible to transfer on OpenSea.
7. Find the "Transfer" button on the right side. It has the icon of a gift.
8. Now enter the recipient address and hit "Transfer"
9. Now go back to your Safe in order to confirm the transaction like you normally do.
10. After executing the transaction, your collectible will be transferred.