Are there substances that cannot undergo combustion?
It depends a little on your definition of combustion. 

Most combustion we see involves things reacting with the oxygen in air. Most combustion reactions are a self-sustaining exothermic reaction of some substance with oxygen gas. But atmospheric oxygen is relatively dilute (only about 21% of air is oxygen) and this limits what will burn sustainably in air (also, at slightly lower concentrations many commonly flammable things won't stay lit). The requirement for things to be combustible in air is, crudely, a reaction path with oxygen that releases energy.

Examples include many types of compound. Hydrogen reacts with oxygen to give water; hydrocarbons react to give carbon dioxide and water. Many metals react to give metal oxides (eg magnesium, spectacularly when lit; iron, only when hot and finely divided). 

Many things won't burn in air for two reasons: there are activation barriers to a potential oxidation meaning a potential reaction can't be sustained (aluminium has a strong oxide layer on its surface protecting the reactive metal from further oxidation, for example); other compounds are already highly oxidised an no further oxidation can happen (eg silicon dioxide, a major ingredient of sand and glass). 

But there are many more things that will combust in pure oxygen as Apollo 1 discovered, tragically. And as many demonstrations show spectacularly (see demo here). But highly oxidised things like silica can't be oxidised further and won't burn not matter how concentrated the oxygen is.

But oxygen isn't the only gas that can support exothermic reactions. Rather more things will burn in fluorine, for example. Even relatively unreactive substances can support combustion if there is an available reaction path that releases enough energy and a reaction can get started. One of the best known examples is that magnesium will burn in carbon dioxide (the reaction producing magnesium oxide releases energy) and even nitrogen (producing magnesium nitride). See the explanation here and the video here.

So, to return to the original question, are there any substances that won't combust? Whatever the definition of combustion is the answer is still yes. Noble gases, for example, though some can be coerced into reacting under extreme circumstances, never combust or support combustion.

If we restrict our definition to combust in air, many substances won't combust though many of them might do so under different circumstances.