This is an interesting question which I have thought about a little before, but stopped given infohazards risks from thinking too hard about ways in which this might be possible outweighed the actionability of such insights. For a variety of reasons, which includes this reason, I am a fan of pushing fast response passive immunoprophylaxis platforms and other countermeasure approaches such as the receptor-competition based ones, it seems that whatever we are worried about, such approaches would be robustly good.
Short answer (mostly based on undergrad immunology and vaccinology): yes there could be things.
There are different potential reasons for why active immunisation might not work for a given pathogen, the most obvious one being that we cannot induce antibodies that manage to bind to (neutralising) areas on pathogens. This may be because of us only having a limited set of B/T cell receptor genes (and even less flexible MHC receptor (present pathogen peptides to immune cells) genes which might be relevant for inducing immune responses) which might mean that induction is difficult - but these genes vary across the population potentially exactly for the reason that the population is protected from getting wiped out by one specific pathogen. This is somewhat seen in HIV where some individuals are able to develop neutralising antibodies and most others don't - question is whether sequential immunisation with more and more complex antigens (to achieve antibody evolution to penetrate HIV glycan shields) can get us to neutralising antibodies for everyone or not.
Another mechanism (discussed by Tessa) might be that antibody-dependent disease enhancement. If any neutralising antibody induction by active vaccination is accompanied by non-neutralising antibodies which may cause ADE for a given pathogen this might be bad. I think this is somewhat a technical challenge, but there might be pathogens which feature unique mechanisms that make overcoming this very difficult.