It's actually very simple. Just take $[1,1.1],[1.9,2]$ to be in the cover. Now what is left over is $(1.1,1.9)$, which is not closed, so not compact. Hence, there is an open cover not having a finite subcover. For example, $(1.1 + \frac 1n, 1.9-\frac 1n)_{n \in \mathbb N}$ would do. Note that these are nested, so the union of the sets of any finite subcover, is just the largest set of that cover, but none of the sets are equal to $(1.1,1.9)$, so this qualifies.
So, $\mathcal U = \{[1,1.1],[1.9,2],\left(1.1 + \frac 1n,1.9-\frac 1n\right)_{n \in \mathbb N}\}$ works as a infinite cover having no finite subcover. Note it does contain non-open sets, as you remarked earlier.
EDIT : This construction is of a "countable" cover not having a finite subcover. For a nice trivial example, the other answer does well.