The first sentence is the usual word order. I recommend using that one.
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EnglishmavenAmerican English allows for both. As I understand it British English prefers the adverb immediately after the modal verb.I see ... at 'Ngrams' there is indeed a stronger bias towards "would never have happened" in BrE than in AmE, which I wasn't aware of, though "would never have happened" still appears many times more common in AmE: