On some quests when i press the map key nothing happens, is this a bug?

No, it's not - some quests (eg No Stone Unturned) don't have map markers, which means you can't access locations via the journal.

If you're unsure post a list of the quests.

Are you opening up the journal and highlighting and objective and telling it to "show on map"? If so, make sure you have that particular quest marked as active in your journal. If you don't, the quest markers won't appear on the map anyway and I think "show on map" won't really do anything. I forget about this all the time especially with Miscellaneous quests. A quest that is marked as active will have a little arrow next to it in your journal.

These are my quests with no map markers -

No Stone unturned

Pieces of the past

The fate of the Skaal

March of the Dead

The Final Descent

Some are part completed but it should still show the locations.

As others have pointed out, this is NOT a bug. You have to discover a location before being able to fast travel to it. Also certain quests like "No Stone Unturned" are meant to not have quest markers. It would make it way too easy to find all of the stones.