The last Big Finish audio that David recorded was The Adventures of Luther Arkwright written by Bryon Talbot. In Luther Awkright, he’s also playing a time traveller alongside a companion called Rose. Mark Wright adapted the graphic novel for Big Finish, below is a quote from him in an interview with Alex Fitch.
"One thing I'm proud of is that we had David Tennant screaming “Rose!” before Russell T. Davies did!"