If you ignore the part of former Colonies that declared Independence, since that makes half of those countries

legit for this list, like the USA, Australia or Canada, there are in fact very few countries legit of that honor.
Here are a few that I know of:
-Nepal
Despite losing a war against British India, it was never conquered. This fact is attributed to the famous Gurkha
soldiers, that so impressed the British and became famous worldwide.
-Liberia
It was more of an invented state than a former colony and was never conquered. The main reason is the lack
of interest from great powers or neighbours to do so.
-Saudi Arabia
Saudi Arabia lost many wars, but was never trully conquered. Fierce resistance from inland tribes and capable
rulers able to use diplomacy in their favor were the key factors.