There is one! If you zoom in on the Rome dot, you'll see that there is a dot below it. The Vatican dot is a bit hidden since it's much smaller than Rome.
Hah, the Vatican is a trick question. I didn't think about when I typed in Rome, but luckily San Marino was the second last I got, and that got me to Vatican.
So, I see that I have 19/20, but there isn't a blue dot left to fill in. I eventually realized that it was the Vatican, but it's kind of mean-spirited to have one dot represent two answers.
Madrid - Prague: 1774 km.
Madrid - Vienna: 1811 km.