Error in cor(exprs(gse), use = "c") : no complete element pairs
The GSE133399 dataset contains both ATAC-seq and RNA-seq data, none of which can be queried with GEOquery which works only for microarray data.
exprs(gse) ## print the expression data returns an empty object as you might have noticed, therefore the errors in the lines that follow this command.
On the bottom of https://www.ncbi.nlm.nih.gov/geo/query/acc.cgi?acc=GSE133399 at the Supplementary file section you can download FPKM-transformed count data and use these. I would be careful though as FPKM is not ideal for inter-sample comparison. I personally always (if feasable) download the raw data and then process myself, but for a guess on what is going on the FPKMs probably will do.