According to Jarulf's Guide, some monsters in the Crypt can be triple immune in Hell difficulty, but I don't see any that would be III in Normal/Nightmare. There are some that are immune to Fire and Lightning, which leaves you with only Magic damage. You mentioned Holy Bolt, so you're fighting some sort of undead. Bone Demons are undead, and are -II in Normal/Nightmare, so you can only hurt them with Golem (physical), Holy Bolt, Blood Star, Bone Spirit, or Flash. You could also use Berserk to turn them against each other, Stone Curse to slow them down and help your Golem, or Reflect to bounce some of their damage back at them. Reflect doesn't seem very practical against a mob though. You might be fighting Arch Liches, which are RR-I, so Fireball would hurt them. You could also be facing Crypt Demons (IRR), Biclops (--R), Flesh Thing (RRR), or Reaper (IIR). Those are all demons, so Holy Bolt wouldn't touch them.