I've been doing a great deal of testing on the effects of various damage types (inclusive only of those applicable to melee & bow) vs. different MOBs. I'll publish my results when it's complete; or near enough & I've got all my slayers.
Here's a sample though, since I have done testing on most undead. Base means average damage vs. this MOB, X% is % of base; S=slash, P=piercing, L=lightning, I=ice, F=fire, E=earth & B=blunt. Testing was done with max damage of 10 axes(1 unaltered, 4 modded elemental & 1 piercing), max 10 hammer and Wild Blow for each hit, skill in axe&hammer 12, strength 0-1(unvaried for any given MOB):
Zombie Warlock - All were base(19) damage; these are fleshy undead.
Skeleton ranger(named version had similar numbers) - S:base(16), P:69%, LIFE:base, B:138%
Hellhound - SPLI:base(10), F:280%, EB: base
Grasping Ghoul - SP:base(11), LIFE:146%, B:base
Skeleton Mezmer - S:base(18), P:72%, LIFE:base, B:144%
Skeletal Sorcerer - S:base(23), P:70%, LIFE:base, B:139%
Wraith - SP:base(10), LIFE:190%, B:base
Skeletal monk - S:base(24), P:71%, LIFE:base, B:138%
Fog Nightmare - SP:base(7), LIFE:200%, B:base
That's all for now, and I'm not entirely sure if ghouls & nightmares are considered undead class; I'll find out later when I've completed MOB types and finish up with the numbers for how the various bonuses(slaying, custom, X>50) and penalties(DP/bonus) interact. From previous testing that I'm not going to bother to quote ATM, skeleton slay and deathbane are the same vs. skeletons; though if I run across a spare skel with a % that =s my deathbane on a melee I'll doublecheck that.
But the semi-final analysis to the OP's question: there is no 1 type of elemental damage that does extra damage universally to undead; tho there are exceptions and skeletons of all types are resistant to piercing and vulnerable to blunt.