Like Sqad, I doubt it too. There are close on 300 viral types responsible for given us a cold and/or related illnesses. These organisms can be demonstrated to be present throughout the temperate world every day of the year in varying quantities. The chances of not encountering these viruses in our everyday lives and succumbing to the illness are very slim indeed.
I'd like to ask this lady if she has ever lived, worked or been in close proximity to a person with a streaming cold. A cold is really not difficult to catch.
There has never been a recorded instance of a person being "immune" from a cold.