there are some JQL functions that you can use.
In your case it would be "issue not in hasTestCoverage()" in a JQL query. Have a look at the docs.
https://support.smartbear.com/zephyr-scale-server/docs/jql-functions.html
Please note that this only applies to Zephyr Scale Server, not Zephyr Scale Cloud. FAQ | Zephyr Scale Cloud Documentation (smartbear.com)
Zephyr Scale Cloud does not support JQL functions at this time, but this feature is on our improvement requests backlog.
Coincidentally, this feature is the second highest voted idea on Zephyr Scale Cloud Ideas, with 74 votes as of 2021-12-15: As a user, I can search for Jira issues | Zephyr Scale Cloud Ideas (aha.io)
But you can also use the traceability reports (even the simple Coverage Report in your case or any of the others). If you filter them by "Issue" using a Jira filter, it will show you the issues (included in that filter) that do not have test cases as well.
Fortunately, this works in Zephyr Scale Cloud.