The Big Four have dominated tennis for several years now but there are some tournaments where, despite many attempts, they haven't managed to triumph.
In Andy Murray's case, it's the Australian Open: he has played 60 matches at Melbourne Park (48 wins and 13 losses) reaching five finals (2010, 2011, 2013, 2015 and 2016) losing one against Roger Federer and four to Novak Djokovic.
For Rafael Nadal, the tournament where he has most regrets is the Miami Masters. He has played 52 matches there (40-12 win/loss record) and lost five finals as well. Two against Federer (2005 and 2017), two against Djokovic (2011 and 2014, one against the Russian Nikolay Davydenko (2008).
Rome Masters for Federer: he lost four finals there. In 2003 to Felix Mantilla, in 2006 and 2013 to Nadal (wasting one match point 12 years ago as he hit a forehand unforced error) and 2015 against Novak Djokovic.
Roger is unlikely to play again at the magical Foro Italico venue on clay. About possibly playing on this surface in 2019, Federer recently said that he will probably take a decision after the 2018 US Open. He last played in Rome in 2016 losing to the Austrian Dominic Thiem in the third round, while his last appearance at the French Open is dated back to 2015 when he lost to his compatriot Stan Wawrinka in the quarters.
And finally Djokovic in Cincinnati until a week ago: five finals, all of them lost (2008, 2009, 2011, 2012 and 2015). It was the only Masters 1000 title missing in his achievements list, and he succeeded to do it.