Taiwan and North Korea are the only two countries I've found that seem to have no extradition and no (formal) interface to law enforcement abroad through Interpol.
Palau, Tuvalu and Micronesia in the Pacific are not members of Interpol, but they do have extradition treaties with the US, and then there are a host of countries in Interpol that have no US extradition.
After watching the doc - I wouldn’t want to spoil it, so I’d just say these guesses were not correct. I was thinking Cuba or Venezuela too at first though.
Venezuela makes the most sense since he could simply walk over the border from Brazil. Guyana might be another possibility as well which would have the added advantage of English being the national language. John McAfee famously lived in Guyana.