Hello and welcome to Just Answer!
The coolant has to be going somewhere. There is a kit you can buy from your parts store that will check for evidence of exhaust gasses in the coolant. It's basically a rubber cone attached to a clear cylinder that goes into the radiator neck. You put a bit of special solution into the clear cylinder and attach the cap to the cyinder. There is a vacuum line atop the cap that it either attached to engine vacuum or a hand held vacuum pump. As vacuum is applied, air is drawn from the radiator, through the cone and through the clear cylinder and ultimately through the special solution. If there is any exhaust gas in the radiator, the solution will change color indicating a cylinder head problem.
You could also use a gas analyzer and check for hydrocarbons in the radiator, but most of us don't have a gas analyzer so this isn't a viable option.
If you have no external leaks, then it alomst has to be burning it. It's not very common for the 4.0 liters to blow head gaskets, but it can happen and it's also possible for there to be no smoke out the tail pipe as well. I have seen many vehicles with head problems not smoke at all.
good luck and I'd like to know how the test comes out.