What element has never been made into a compound?
Elements 115-118 and probably some other super heavy elements.
The least reactive of all the elements is helium, but it is possible to create a few helium compounds at very high pressures or very low temperatures.
The other option to consider are those elements which we predict would form compounds if they existed for long enough, but have extremely short lifetimes.
That would include:
Element 118 Oganesson (Og), first synthesized in 2002.
Element 117 Tennessine (Ts), officially announced in 2010.
Element 116 Livermorium (Lv), synthesized in 2000.
Element 115 Moscovium (Mc), synthesized in 2003.
Only a few atoms of these elements have been synthesized, with half lives less than 1 second, so no real opportunity to form compounds.