Why is there no shadow day?

This is because of the earth's tilt at an angle of 23.5 degree, with respect to its orbiting around the Sun. But, twice in a year, at regions between the latitudes of +23.5 and -2.35, the sun does pass directly over the heads, causing the shadows to disappear which is observed as the Zero Shadow Day.

What is AZSD 0 shadow day?

A zero shadow day is a day on which the Sun does not cast a shadow of an object at noon, when the sun will be exactly at the zenith position. Zero shadow day happens twice a year for locations between +23.5 and -23.5 degrees of latitude (between the tropics of Capricorn and Cancer).