Is there any material which cannot be cut by a lightsaber?

I don't know which material it was made of but the blast doors in Star Wars I: Phantom Menace are more or less impervious to the light sabers:

Blast doors were extra doors that were closed next to a room's regular entrance or other closed door to provide extra reinforcements against hostile forces such as explosives, powerful blasters, or even lightsabers.

From the Legends Wookieepedia Article on Blast Doors

However, as we see in the same film, Qui-Gon cannot cut through the blast door but has to melt through:

I don't know if you count Beskar, which appears in Mandalorian and other SW-series to be relevant to your question:

Beskar was one of the toughest and most legendary metals in the galaxy. The alloy could withstand direct blaster fire and was capable of repelling the strikes of a lightsaber. The metal could also be reforged to any warrior's liking.

From the Canon Wookieepedia Article on Beskar

However, Exar Kun was able to cut through Beskar:

Mandalorians furnished starships and constructed weapons with beskar, while the Jedi Master Arca Jeth utilized a heavy slab of Mandalorian iron to seal the tomb of the deceased Sith Lord Freedon Nadd on Dxun. The beskar door proved an impediment for the Dark Jedi Exar Kun, who was shocked to find that his lightsaber was rebuffed by the Mandalorian iron, and only gained access to the blocked tomb with repeated strikes of his saber at its highest power output.

From the Legends Wookieepedia Article on Beskar

So, with Beskar being officially one of the toughest material in the Star Wars Universe and a lightsaber being able to cut through, there is probably no material that is totally impervious to lightsabers. However, as we see in the Phantom Menace, there are materials even a lightsaber cannot simply cut through. With enough time, it would seem like everything can be gone through with a lightsaber.

In Legends, there are materials that can block a lightsaber. Not directly a material but metal enhanced by Sith Alchemy

Sith swords were constructed through various metallurgical and arcane means, transmuting base metals into an alchemical alloy possessing an unusual affinity for dark side energies. The rare metallic compounds used in its construction could result in blades varying in weight from 3 kilograms up to 6.5 kilograms, a blade far heavier than its 1.4 meter length[source?] would indicate. It often required great strength of body as well as in the Force to successfully wield the weapon and make it as dangerous as a lightsaber. In fact, the alchemical alterations allowed the Sith sword to block incoming lightsaber attacks, as well as deflect and redirect blaster bolts in much the same way a lightsaber did.

From the Sith Swords article on Wookieepedia

If block means it's totally impervious to lightsabers or simply can resist it for a short time before the lightsaber melting through, I don't know.

In the movies, what lightsabers can cut through seems to be, at best, a mixed bag. Focusing on the earlier movies, IV, V, & VI, where the technology is first introduced, I looked at two major encounters.

Here, in the Cloud City duel, we can see that neither Luke's not Vader's weapons can cut through other lightsabers (obviously). We can also see that neither can cut through various pieces of metal: railings, floor decking, random mechanical~electrical housings ripped from the walls. However, they can cut through coolant gas conduit piping.

Here, in the Throne Room duel, we can likewise see that floor decking and machine housings are lightsaber impervious. However, sometimes railings and decking can be cut, as when Vader throws his saber and brings down the catwalk with Luke on it. However, just a couple minutes later, after Vader finds out about Leia, neither Luke nor Vader can do more than elicit a few sparks from any of those computer terminals, support columns, gangways or stairs. Even though Luke is now pretty emotional, that doesn't seem to affect his lightsaber power output. In fact, their saber cuts just bounce right off the railings! Sometimes without even a spark. It's not until the climactic strike where Luke severs Vader's hand that his lightsaber is able to break through the railing, leaving jagged ends behind. Even there, I'm not convinced that the lightsaber did the damage: this was where Luke was bashing Vader's arm against the railing, clearly weakening it. I think the railing just broke from excess stresses placed on it.

A brief survey of later movies reveals similar limitations. Neither Dooku nor Obi-Wan can seem to put a scratch in the floor, for example.

Conclusion: Lightsabers can only and always cut precisely what is needed to be cut for the narrative purposes of the screenwriter & special effects folk.

Beyond other lightsabers, off the top of my head I can think of two instances in the movies of a weapon capable of blocking lightsaber blades.

The first is in Revenge of the Sith. Obi-Wan Kenobi and Anakin Skywalker battle against Grevious' guards. The guards use an electrostaff that is clearly shown to block the lightsabers of Kenobi and Skywalker. The electrostaff's material appears to be called Phrik.

The second is in The Force Awakens. Finn faces off against a stormtrooper nicknamed TR-8R (officially FN-2199). At that point in the movie, Finn is using the Skywalker lightsaber, while the trooper uses his "Z6 riot control baton". We see several blows connect, which confirms the baton is lightsaber resistant. However, I couldn't find a name for the material of the riot control baton.

Outside of the movie realm, the videogame Jedi: Fallen Order features similar weapons, with similar capabilities. It tends to confirm those weapons aren't unique.

In line with the conclusion in elemtilas' answer, the simple explaination is likely that the film/game makers simply needed to come up with a cool weapon to put in a lightsaber duel without turning everybody into a Jedi.

In the Star Wars EU: Cortosis blades, made of Cortosis, could enhance weapons to make them resistant to lightsabers. Some variants with high purity materials could short out a light sabre for limited periods.

Not in the movies though.

In The Clone Wars Season 2 Episode 18 "The Zillo Beast" Anakin Skywalker encounters a gigantic creature which is the episode's namesake. He is quite surprised to find that the hard scales which cover its body are completely impervious to his lightsaber.

A TV show is like a movie.

YES! In Canon, Star Wars Clone Wars, an animated episode depicted the Zillo Beast:

The Zillo Beast, an Unbreakable Creature

It originates from Malastare

Its heavy plated armor was invulnerable to explosions, blaster fire, and even lightsaber strikes. Jedi Knight Anakin Skywalker discovered that gaps in the creature's armored plates could be exploited to damage or stun the creature.

I remember watching the episode, the Jedi knights attempted to pierce the armor of it, but it was not worthwhile, they did no damage.

See this clip of Anakin's Lightsaber doing nothing: Clip of "The Zillo Beast"

The Zillo Beast appeared in the episodes "The Zillo Beast" and "The Zillo Beast Strikes Back" from the Star Wars: The Clone Wars television series.

Originally, The Emperor actually cloned the beast in plans on using the skin as new armor for the Clone Troopers, but as far as I've heard, I know nothing more.

See this clip of him ordering the cloning: Clip of "The Zillo Beast Strikes Back"

So yeah, not everything can be pierced, including the Force Deities, who could wield the pure energies of the force, basically making them invulnerable to the lightsabers.

A lightsaber, regardless of the name appears to be made of plasma isolated in some kind of magnetic field, any material with a melting point higher than the temperature of the "blade" will remain intact. Star Trek has a plasma cutter that is in every starfleet engineers toolkit for general maintenance, with much the same effect as a lightsaber.

From the books, specifically the Jedi Academy series, the Fireworm has a crystalline skin that makes it impervious to being sliced by a lightsaber.

Beskar steel, prominently seen in The Mandalorian, is said to be so tough it resists attacks from blasters and lightsabers, which is why Mandalorians go to such lengths to (re-)aquire it and forge armor and weapons out of it.

Another lightsaber.

It can essentially cut any material but a lightsaber. It itself is nothing, it’s energy from a crystal, but one lightsaber cannot go through another lightsaber which is essentially nothing but energy, interesting.