Even if vast parts of our galaxy have unknown stars due to dust obscuration and other effects (as stated by donatello200), wich is correct, we still know much more stars (hundreds of times moore) of the Milky Way than any other galaxy (including the magellanic clouds).
The real reason you currently can't find a star like R136a1 in our galaxy is that our galaxy has a much smaller star formation rate per cubic parsec than the magellanic clouds (stars born per year in a unit of volume of the galaxy). These massive stars burn hard and live short. If you see one you are surely seen a star that has borned at max a million years ago (nothing in terms of geological timescales), in fact R136a1 is just 0.8 million years old. They don't live much longer so they dissapear from view. If you can see them in the magellanic clouds is just because the rate at wich stars are forming is grater and there are more chances, but in the milky way a star birth is "rare" in current times (it was not 11 billion years ago) so all the supermassive stars are gone and don't get substituted by new ones very frequently in geological timescales.
What is the reason for magellanic clouds to have a higher star formation rate per cubic parsec? well, its the same reason Io is heated by Jupiter: tidal interactions with the milky way.