One can't inscribe cubes in generic surfaces by dimension reason. Indeed the space of cubes in $\mathbb R^3$ is $7=3+3+1$-dimensional, while a cube has $8$ vertices, and so a surface imposes $8$ conditions on the vertices of the cube.
To make this dimension reasoning rigorous one can do the following. Take the space of polynomials of degree $\le d$ on $\mathbb R^3$ that vanish at $8$ vertices of a (non-zero) cube. For $n$ large enough (probably $d\ge 3$ will suffice) this space has codimension $8$ in the space of all polynomials of degree $\le d$. So if we take the poly $x^2+y^2+z^2-1$ and add to it $\varepsilon F$, where $F$ is a generic poly of degree $d$ then the surface $\Sigma:=\{x^2+y^2+z^2-1+\varepsilon F=0\}$ doesn't contain a cube. And $\Sigma$ has a connected component diffeomorphic to a sphere.
However it is not so easy to construct a concrete example of such surface by hands, because it should be quite asymmetric.