I'm not sure if immune system is all that relevant any more. People rarely die from causes that can be prevented by strong immune system. Top 5 causes of death in the United States, percentages of total, and male-to-female ratios:
1. Heart diseases: 26%, 1.5
2. Cancer: 23%, 1.4
3. Stroke: 6%, 1.0
4. Chronic lower respiratory diseases: 5%, 1.3
5. Accidents: 5%, 2.2
Stroke is an equal-opportunity killer. 80% to 90% of "Chronic lower respiratory diseases" are due to smoking, and 1.3 male-to-female death ratio nicely reflects historical prevalence of smoking in the country.
In cancers, the pattern is also quite clear: the one biggest killer is lung cancer, caused by smoking, and the death ratio is again 1.3. There are huge differences in death rates due to cancer of mouth (2.1), esophagus (3.6), and liver (1.9), all of which are usually caused by chronic excessive drinking. On the other hand, there are no significant differences between sexes in pancreatic and colon cancer (both often caused by excessive consumption of meat, particularly processed meat). The difference, of course, is that dangers of smoking and drinking have been known for a long time, and dangers of processed meat are still not fully part of public conscience. So, females are not significantly more resistant to cancers when exposed to carcinogens, but they are more capable of avoiding known sources of danger.
The 1.5 ratio in heart diseases is a whole separate issue.