Have you asked them for one? VAT receipts need only be issued to VAT-registered buyers, so they might not issue them by default. (I've never dealt with Github, so they might genuinely be being dicks about it.)

So far as I know, Github don't have a presence in the EEA, do they?

That affects their risk profile, not whether or not it is legal. The EU has specific rules that affect foreign sellers selling products and services to customers in the EU, irrespective of where the seller is located.

They have and they are legally required to given their size.