[BrandoElFollito]

Probably Monaco or the Vatican (though none have a subway).

Because in a real country you always have blind spots, even in relatively easier points such as the Netherlands (flat and populated)

[jefftk]

The Vatican sort of has a subway. It has a single train station, which has (rare) passenger service, and about 100m of train tunnel.

[BrandoElFollito]

Ah, I had no idea! Thanks for sharing that. For reference, the Wikipedia article: https://en.wikipedia.org/wiki/Vatican_Railway

[FinnKuhn]

similarly Monaco doesn't have a subway, but their train station is in a tunnel so I think that would probably count in this instance: https://en.wikipedia.org/wiki/Monaco-Monte-Carlo_station