If only I had a nickel for every time I've answered this one!
This question is a popular stumper, and can appear phrased in a number of different ways. Pay attention to the way the question was phrased to you, and use this information to answer (or overanswer) the question.
Most commonly, whoever asked you has phrased the question in such a way that the currently serving President (and/or the living former Presidents) are possible answers. That is, if the question is stated this way: "Which U.S. President is not buried in the United States?" you could accurately answer with any of the men who have not yet made the list of Dead Presidents. The incumbent, as the only man who is currently a U.S. President, is your best bet.
I believe the question was first asked in 1973 when Richard Nixon, in office, became the only living man to have been President (this had been the case only four times before -- during the administrations of John Adams, Ulysses Grant, Theodore Roosevelt, and Herbert Hoover). The deaths, coming so close together, of the only living ex-Presidents, Truman and Johnson, with the resulting chit-chat about Presidential funerals over the years, led to the germination of the trick trivia question: "Name the only U.S. President not buried in the U.S." (with the answer being Nixon).
As I say, I'd be willing to bet that the answer that your questioner has in mind is any one or more of the (ex-)Presidents who still live. However, pay close attention to the way the question was phrased -- sometimes the questioner can outsmart himself....
If the word "buried" is in the question, you could conceivably answer with any of the Dead Presidents whose remains are not interred below ground. These would include President Garfield (whose uninterred coffin lies in the memorial built to him in Cleveland) and many others (like the Adamses and Wilson, to cite only a few) whose coffins are interred in above-ground sarcophagi. Use that to outsmart your tormentor!
Secondly, if the question is phrased something like this: "Which U.S. President was not buried in any of the states that were in the union while he was President?" you can answer with Woodrow Wilson. Wilson's remains are interred in the National Cathedral, in the District of Columbia (as opposed to within any one of the fifty states). Tricky, but if phraseology allows, very accurate.
Finally, if the question is phrased to include the words "U.S. soil" -- as in "Which President was not buried in U.S. soil," you may want to respond with the story of John Tyler. When Tyler died, he considered himself a citizen of the Confederacy (in fact, he was an elected member of the Confederate Senate) and the ground in which he was buried was, to his mind, Confederate (not U.S.) soil. However, because Lincoln's armies won the war, his point of view (that the southern states never really seceded after all) is the way U.S. history records the Confederacy. Because of the Union victory, the Confederacy never really existed as a separate nation -- it was "just" a rebellion. So in the end, even the nationality of his burial plot was denied to the President who died a rebel. So be careful if you use him as your answer.