While there are a number of monsters with hexes, and even one more vulnerable to hexes, my scan of the monster spreadsheet showed none that were immune to hexes specifically.
That said, there are a number of monsters immune to hexes with certain tags, like mind-affecting. Likewise, hexes can be Ex, Sp, and Su. If a creature is immune to one of those, it is immune to hexes of that type. For example, golems are notoriously hard to affect with spells. Hexes that are Sp, therefore probably won't work on golems. Ice Tomb, does not work on very large creatures because it is too small (I think).
While hexes are not curses, that does not mean a specific hex cannot have a curse tag. [Spell Hex of the Brand spell would be one such.]
Basically, you need to leek at the abilities of the monster being hexed and the tags of the hex.
/cevah
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In addition to Cevah's point about the tags, the specific effect of each hex needs to be considered. For example, the Slumber hex puts targets to sleep... and thus has no effect on constructs, oozes, plants, and undead - all of which are immune to sleep. Similarly, the Blight hex specifically only impacts Animal and Plant creature types. Agony requires a Fortitude save... so Constructs and Undead are immune. Et cetera.