Is there some kind of box or device someone could yell at the top of their lungs in and notbe heard?

The quietest place on Earth is the anechoic chamber at Orfield Laboratories in Minneapolis, Minnesota. The room is designed to absorb sound instantly, people tend to stay for only a few minutes as there is a tendency toward hallucinations brought on by sensory deprivation.
If however you want a soundproofed room, it is easy to make your own, you can buy soundproofing from any good hardware shop and put it over your walls, floors, ceilings, doors and windows and not be heard.