Elbow skin is not entirely unreceptive. Firstly the skin is a bit thicker so it acts as padding. If your elbows weren’t a bit though, leaning on them would be very sore!
You feel things thanks to nerve cells. There are different kinds of nerve cells designed to notice different things such as heat, cold, and pressure. Nerve cells are quite long and somewhat spindly, the nerve ending are what notice the sensation and this is then send on to your brain and then you feel it.
There are fewer nerve ending on your elbows, you can still feel stuff like a cut but can barely feel lightly nudging something. This is for a good reason: so you can use your elbow as a poking device and brushing off stuff doesn’t hurt.