No, there aren’t any enemies that are immune to movement entirely, but some enemies might be harder to move due to their bulk. If you are trying to use Thunderwave on a dragon, it is going to be much harder to move than a kobold warrior. This is represented by the monster’s constitution score, which is often higher on bigger creatures. For RP reasons, the constitution represents their resistance to being moved against their will. Like how in the real world, if you moved to shove a toddler and then a 300-pound man, one would be much easier to move than the other due to the radical changes in balancing and strength. While no enemy is immune to movement and even the hardiest monster can fail a CON check, you should take the size of the monster you are moving into account before trying to cast the spell.