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You can use the clause WITH to generate the sequence of number and compare it with the table in question:
WITH sequencias
  AS (SELECT 1 AS sequencia
      UNION ALL
      SELECT s.sequencia + 1 AS sequencia
        FROM sequencias s
       WHERE s.sequencia <= 5)
SELECT s.*
  FROM sequencias s
 WHERE NOT EXISTS(SELECT 1
                    FROM tabela t
                   WHERE t.nr_volume = s.sequencia)
 ORDER BY s.sequencia
OPTION(MAXRECURSION 0);
We have a great command explanation WITH in answer to the question Using WITH AS command in Sql Server.
