Is Bhutan eligible for Visa on Arrival?

It's possible for you to apply for Macau VOA. You can try to apply for it by showing your passport and travel arrangements.

Great that means I can take all my documents from here and just show them and make my Visa when I reach there?

Applying VOA means you can apply after your arrival by showing the requirements.

The only difference between VOA and visa exemption is that those applying for VOAs are required to pay for a fee (MOP 100 per person over 12 and 50 per child under 12). There are no additional documents other than your onward travel arrangements and hotel voucher, both of which are also required for visa exempted nationals (although they rarely if ever ask for that at immigration unlike Hong Kong).