Are there still islands that have not been claimed by a country?

No one is stopping you from building your own island. Stop whining.

Italy does not agree with that.

https://en.wikipedia.org/wiki/Republic_of_Rose_Island

Exactly. All you have to do is gather the money to fund it. It's really not that hard, you just have to build your own bank and stock market first.

The problem was that he didn't make his own military to defend the land