How have we observed enough naked mole rats to be confident of this? How did cancer rates in them become an object of study in the first place? Is there a reason to think they don't get cancer?
Naked mole rats reportedly develop cancer when living in zoos where they are exposed to much more oxygen than they’re used to. Their genetics naturally prevent cancers when they’re living in a hypoxic underground environment but when exposed to the oxidative stresses of living above ground, the mutation rate can overcome their natural defenses
The general process goes: naturalists, zoologists, etc gather data on a species. Oncology/aging/whatever researcher notices a peculiar data point - in this case the naked mole rats' extreme longevity compared to other rodents - and investigates. The peculiar data points (lifespan, rate of cancer, etc.) percolate until someone stumbles on a plausible mechanism [1]. Rodents reproduce like crazy so it wouldn't take long to notice.