Which country in Southeast Asia was never colonised?

Thailand, then Siam, which stayed independent while Britain took Burma and Malaya and France took Vietnam, Laos and Cambodia. It managed it by being the buffer both powers preferred to a shared border, and by playing them against each other with considerable skill.

It cost territory. Siam ceded chunks of what are now Laos, Cambodia and Malaysia in a series of treaties, giving up the periphery to keep the centre. Kings Mongkut and Chulalongkorn also modernised aggressively and deliberately - abolishing slavery, reorganising the administration on European lines, building railways and sending princes to be educated in Europe - on the explicit reasoning that a state which looked civilised by European standards was harder to justify colonising.

The name changed to Thailand in 1939 as part of a nationalist programme, and the independence is a live part of national identity. It is worth noting the two qualifications: Japan occupied the country during the Second World War by agreement rather than conquest, and the unequal treaties that followed European contact imposed extraterritorial rights and tariff limits that were not fully undone until the 1930s. Never colonised is true; never coerced is not.