I think I found an example, but I'm curious because I think it has Hausdorf dimension <2.
Let $C\subset[0,1]$ as the Cantor set obtained by removing open intervals formed by numbers whose base 16 expansion does not have the "digit" 15. Ends of this intervals, like $0.(15)000\dots=0.(14)(15)(15)(15)\dots$ stay on $C$. Now define $B=\bigcup_{i=0}^4(i+C)$, so that $B\times B\subset[0,5]\times[0,5]$. $B\times B$ is closed and has empty interior.
I'll show that $B\times B$ is in $S_5$: Let $A=\{z_1,z_2,z_3,z_4,z_5\}\subset\mathbb{R}^2$. Let $Q$ be a similarity transformation such that $Q(A)\subset[0,5]\times[0,5]$. Now I show that there is a translation $L$ such that $L(Q(A))\subset B\times B$.
Let $p_1(x,y)=x$ and $x_j=p_1(Qz_j)$ and assume, without loss of generality, that $x_1<x_2<x_3<x<4<x_5$. Now, define $d_i=x_{i+1}-x_i$ for $i=1,\dots,4$. I show now that we can realize this four distances in $B$:
Let $d_i-[d_i]=0.d_{i1}d_{i2}\dots$ in base 16, where $[\cdot]$ stands for the floor function. To show that we can realize the four distances in $B$, we only need to prove that we can built a number $p=0.p_1p_2\dots$ (in base 16) so that for every $j$ none of the numbers
$p_j$,
$p_j+d_{1j},p_j+d_{1j}+1$,
$p_j+d_{1j}+d_{2j},p_j+d_{1j}+d_{2j}+1,p_j+d_{1j}+d_{2j}+2,$
$\dots$,
$p_j+d_{1j}+\dots+d_{4j},p_j+d_{1j}+\dots+d_{4j}+1,\dots,p_j+d_{1j}+\dots+d_{4j}+4$,
is congruent with 15 mod 16. Noticing that this list of numbers has at most 15 distinct numbers, we can choose $p_j$ so that none of them is congruent with 15 mod 16. In this way, we can realize the four distances in $B$, so that we can translate $Q(A)$ so that all the projections into the $x$-axis of its elements lie in $B$. Analogously, we can do the same for the projections to the $y$-axis, so that there is a translation $L$ such that $L(Q(A))\subset B\times B$. So, $B\times B$ is in $S_5$.
It is not so difficult to see that this process can be generalized for $n\leq6$, so that $S_n\neq\emptyset$ $\forall n\in\mathbb{N}$.
However, $B\times B$ has Hausdorff dimension <1, so that $S'_5\neq\emptyset$ and therefore $S''_5\neq\emptyset$. Please chech this, because I can't find the mistake on the previous proof nor in mine.