Its not that they are completly incoruptible. Its more that their "religious mindset" is very different from the human religions and allmost incompatible with the concept of heresy.
Actually humans I think are allmost the only peoples in the old world to make such a fuss of religion and where the concept of heresy can truly exist. Dwarven Ancestors worship is really all about honor and proper respect, not zeal and witch hunt. Elves are mystic and weird. Its near impossible for a non-elf to understand elven spirituality and they don't really make distinction beetween wizardry and priestly magic either. Halflings don't really care much about it, and I've always seen their so called religion more as collection of folk tales and legendary figures poorly understood by humans scholars.
I've also argued a few pages ago why the concept of chaos heresy make no goddamn sense to me so I won't get back to that. But the cults of the Horned Rat and Hahsut don't leave much room for heresy either. So do Gork & Mork, at least for orcs. Goblins have been known to worpship weird things when on their own and the Night Goblins cult could definilty be an heresy of G&M.
Anyway, heresies can be cool and all but I'm not sure trying to shoehorn them where they don't belong is really worth it. Especially if it is to end up with the kind of lame vanilla CK2 heresies whith no features.