We will prove that $p$ does not divide $\dbinom{n}{k}$ for any $k \in \{0,1,2,\ldots,n\}$ iff $ n = p^m-1$.
Write $n$ in base $p$ as $$n = \sum_{i=0}^{l} n_i p^i$$ The highest power of $p$ that divides $n!$ is $$\left \lfloor \frac{n}{p} \right \rfloor + \left \lfloor \frac{n}{p^2} \right \rfloor + \cdots + \left \lfloor \frac{n}{p^l} \right \rfloor = \sum_{i=1}^{l} n_i p^{i-1} + \sum_{i=2}^{l} n_i p^{i-2} + \cdots + \sum_{i=l}^{l} n_i p^{i-l}\\ = \sum_{i=1}^{l} n_i \left( p^{i-1} + p^{i-2} + \cdots + 1\right) = \sum_{i=0}^{l} n_i \left( p^i - 1 \right) = n - \sum_{i=0}^{l} n_i$$
The power of $p$ that divides the binomial coefficient $\dbinom{n}{k}$ is nothing but $$(n - \sum_{i=0}^{l} n_i) - (k - \sum_{i=0}^{l} k_i) - (n -k - \sum_{i=0}^{l} (n-k)_i) = \sum_{i=0}^{l} k_i + \sum_{i=0}^{l} (n-k)_i - \sum_{i=0}^{l} n_i$$
Hence, $p \not \vert \dbinom{n}{k}$ if and only if $$\sum_{i=0}^{l} k_i + \sum_{i=0}^{l} (n-k)_i - \sum_{i=0}^{l} n_i = 0$$ i.e. $$\sum_{i=0}^{l} n_i = \sum_{i=0}^{l} k_i + \sum_{i=0}^{l} (n-k)_i$$ This means that $n = p^m - 1$ for some $m$.