The easiest way to make the dragon very difficult to kill is to give it some form of contingent insubstantiability - i.e. it is only there when it is hitting you - when you hit it it's not actually there so your attacks pass through harmlessly.

A variant on this (which ties in with some East Asian mythological dragons I think) is that it lives in the earth. It doesn't burrow, it "swims" through the earth. Yes it may be fairly vulnerable to modern weapons when out of the ground, but it could quickly learn from a few panicked near misses when it first wakes not to let itself be caught.
This is also the same sort of dragon that supposedly controls earthquakes...