None are immune to nature damage in those particular raids.
There are very few mobs in Vanilla that are technically immune to anything.
Mostly mobs and bosses are just more resistant to certain types of damage.
In MC things are varying degrees resistant to fire.
In BWL things are resistant to fire and shadow there might have been some trash mob that was even immune to shadow can’t remember for sure.
But you are not going to see many that are totally immune to anything.