Manchester United have never been given the nickname "The Invincibles".

In football, "The Invincibles" is a nickname that is used to refer to the Preston North End team of the 1888–89 season, managed by William Sudell, the Rangers F.C. team of the 1898-99 season, managed by William Wilton, and the Arsenal team of the 2003-04 season managed by Arsène Wenger. Preston North End earned the nickname after completing an entire season undefeated in league and cup competition (27 games), Rangers were victorious in every league game (18 games), and Arsenal were undefeated in all league games (49 games). The actual nickname of the Preston team was the "Old Invincibles", but both versions have been in use.

The term "Invincibles" has also since been used elsewhere in European football. Italian clubs Milan and Juventus received the nickname after winning the 1991–92 and 2011–12 Serie A titles respectively. Celtic earned the nickname after going unbeaten across domestic league and cup competition during the 2016–17 season in Scotland.

More Info: en.wikipedia.org