Bhutan is world’s only country which doesn’t celebrate Independence Day because it was never occupied and never had to work for independence.
Bhutan had remained an isolated palace throughout its history, there are speculations that for a short period of time it came under Tibetan Empire but there are no evidences to proof it.
So no occupation means there was no independence movement and no independence day. Though it signed a treaty and agreement with British Empire in 1910 to ensure its independence which is known as Treaty of Punakha.
In 1949 Bhutan signed another deal with India which is called Treaty of Friendship which made Bhutan dependent on India in matters of foreign policy but after a re-negotiation in 2007 the foreign policy of Bhutan become independent.