I do not know where I could find resources on this, you'd most likely need an answer from someone who's played every game (I haven't). But I can answer maybe two. Are we counting events, as well? I could give more in that case.
Mirage Tower (Emerald) will collapse once you reach the pinnacle and select a fossil of either Lileep or Anorith. This one I speak from experience and know for a fact you can't go back to.
I also believe the Distortion World (Platinum) is impossible to return to. But don't hold that to me. I've never tried.
I know a lot more locations that *aren't* main series locations. (Gen 4 Mystery Dungeon games)