Looking through the Bulbapedia learnset entries for each HM move, I have found no instances within each HM set where a Pokemon learn it, but its evolution can not;
- Cut (HM01)
- Fly (HM02)*
- Surf (HM03)*
- Strength (HM04)
- Flash (HM05 Gen 1-3)
- Venonat/Venomoth can to learn Flash in Yellow, but not in R/B. Venonat loses the ability to learn flash in Gen 2
- Hoothoot/Noctowl lose the ability to learn Flash in Gen 4, although it's no longer an HM.
- Defog (HM05 D/P/Pt)
- Whirlpool (HM05 Hg/Ss - HM06 Gen 2)
- Waterfall (HM05 Gen 5 - HM07 Gen 2-4)
- Rock Smash (HM06 Gen 3-4)
- Dive (HM06 Gen 5 - HM08 Gen 3)
- Rock Climb (HM08 Gen 4)
There are a few fringe cases that pop up in earlier generations (Mostly between Red Blue and Yellow) where a Pokemon might learn the HM in one game and then be traded to another where its evolution cannot. There may also be unmentioned cases of this between Gens 1 and 2, however the Time Capsule was fairly restrictive in what could be sent back.
*Pikachu is an interesting side case - As there are event and side-game transfers that can give you a Pikachu with Fly, or even Surf (there's also a surfing Pichu). However in none of these instances can Pikachu be taught the moves from an HM.