Photos display photos that are not in an album

You can create a Smart Album with a single criterion: "Album" "is not" "Any". That should do the trick if you are still on Mojave (macOS 10.14.x); some releases of Catalina (10.15.x) can lose track of which photos are in albums if you delete a non-empty album.

marksman's reply was correct but be aware that you may run into problems as described in this user tip: Problems with the Smart Album Rule: Album is not Any in Photos 5.0 - Apple Community