There are no countries that allows that, you cannot make an online gambling site without any license because countries either completely banned it or you are required to get a one before proceeding to your plan, unless you wanted to be in jail for not abiding the law, especially if you are a foreigner to a certain country where you plan to start your business. A license is a must to:

- Verify your Identity (so that the players would have a peace of mind that you are a legitimate person)
- Provide proof (that you are capable of running your business)