I have never been is better if you're talking about a place. For example, i have never been to Thailanf.
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It’s just a word order issue.
It should be: I have never gone (or been)
Usually abbreviated to: I’ve never....
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There is a big difference between 'Gone' and 'Been'.
She has gone to Paris. (She is in Paris 'right now' .)
She has been to Paris. (Referring to travelling experience. She is not in Paris)
I hope that gives you a bit more of an understanding. :)