I'd assume that a lot of the reason creatures in Bloodborne are of the fleshy variant is simply because most of them are a product of the scourge of beasts, but I do figure that something less fleshy and more non-strictly-killable could easily have existed in the nightmares, where monsters exist that don't come from the scourge. I do feel like some of the enemies in Bloodborne were a bit of a wasted opportunity in that regard, like the Cainhurst ghosts or the various specters in the labyrinth; beings that aren't strictly physical but can still be killed with normal weapons because of... reasons? Maybe Dark Souls players thought the ghosts in New Londo were annoying and they decided to shy away from circumstantially invincible enemies? I'll keep this in mind, though, and see if anything interesting of the sort comes to mind.

There are more creatures in Bloodborne that aren't affected by a Hunter's weapons than you'd think, though. Gehrman is immortal until you are ready to awaken from the Hunter's Dream, the Doll is indestructible, the Messengers are downright indifferent to anything you do to them. The "lesser" Amygdala in Yharnam and Yahar'gul are also immortal, unlike the ones faced in boss fights. There's obviously gameplay and story reasons that these entities can't be destroyed, at least not before their time, but I like to imagine that there's also lore reasons that explain their apparent invincibility.