I know the vocative ō doesn't elide with a following word in Latin, though it can elide with a preceding one. For example, Catullus LXI.39:

dicite "o Hymenaee Hymen…"

For metrical reasons, this has to elide as dicit'o Hymenae'ymen. And a quick search hasn't found any other cases where ō does elide into a following vowel.

Are there any other words which refuse to elide like this? For example, do all interjections refuse to elide into what follows them? Or is ō unique?

(Notably, the Greek equivalent can join into the word after it, which makes me think this exception isn't borrowed from Greek.)

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It appears this phenomenon is not unique to the O interjection. The The Elements of Latin Grammar, etc p.175 notes:

Ah, O, hei, heu, pro, si, vae, vah, and also most other monosyllables are seldom elided

A Copious Latin Grammar p.383, is more restrictive in his list (and specifically mentions "interjections" rather than any monosyllabel), but he sounds more conclusive in his statement:

The interjections O, heu, væ, io, ah, vah, proh or pro, are not elided.

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