Do there exist a group $G$ and its proper subgroup $H$, such that $G$ is covered by conjugates of $H$?
It is not hard to see, that if such $G$ and $H$ exist, then $|G:H| = \infty$.
Indeed, consider first the case, when $G$ is finite and $A \subset G$ is a left transversal of $H$. Then $|\bigcup_{g \in G} gHg^{-1}| = |\bigcup_{a \in A} aHa^{-1}| \leq \sum_{a \in A}|aHa^{-1}| - |\bigcap_{g \in G} aHa^{-1}| = |A||H| - |\bigcap_{g \in G} aHa^{-1}| = |G| - |\bigcap_{g \in G} aHa^{-1}| \leq |G|-1$.
Now, suppose $|G:H| < \infty$. Then $H$ contains a finite-index normal subgroup $N$ of $G$. Then if $G$ is covered by conjugates of $H$, then finite group $\frac{G}{N}$ is covered by conjugates of its proper subgroup $\frac{H}{N}$, which is proved above to be impossible.
However, I have no idea what to do about the case when $|G:H| = \infty$.