The only transitions I know of that would be impossible to find fossil evidence for are ones between groups of monocellular organisms that lack distinguishing anatomical features.
We do not have confident examples of most Pre-Cambrian transitions (e.g. Kimberella might be an example of one, but we don’t know which), but part of the problem for animals is that generic worms still look like generic worms, whatever their taxonomic affinity.
However, there are some tranbsitions which we have very good evidence for, like rostroconchia to bivalvia and scaphopoda, early ungulates to cetaceans, early archosaurs to birds, etc.