An EOS (Electrical Over Stress - of which ESD is one part) event damages a device by imposing an electric field that is too high for the device. That in itself may be sufficient to damage the part, but once current starts to flow from the device breaking down, heating then become the dominant effect. GOX (Gate OXide) is the most sensitive aspect of a MOS type transistor but S/D's and various junctions can all be damaged, as well as contacts, wiring and interconnect. If it cannot support the current.
If PMOS and NMOS are made in the same process (mainly the GOX being the same thickness) then there is no difference between in the native sensitivity of the Gate to EOS in processes less than 0.35u. However, because of the mobility differences PMOS transistors tend to be 2.5 X larger that NMOS devices to match the transconductance of the devices. In some cases this may help protect against an ESD event as the capacitance is also 2.5X higher and for a fixed charge transfer the generated voltage will be 40% and thus the E-Field will be 40%. However, there are process specific reasons why having a larger gate area might also hurt the PMOS.
EOS can damage the device without any noticeable/visible effect on the device if it causes a shift in operating conditions. Like if the GOX is compromised but not fully ruptured.
In CMOS devices the GOX breakdown is principally what limits a given process voltage of operation and this scales (mostly) linearly with GOX thickness. So a finer process, means thinner GOX means lower voltage. So a 90 nm process might have 2 nm thick GOX and an operating voltage of 1.1 V. Which is an E-field of 500 MV/m and only the equivalent of 12 bond lengths - approx - it is amorphous. I that same process the threshold voltage could be in the range of 300 mV to 500 mV.
If you are talking discreet devices, you have no way of knowing if the processes are comparable, even from the same manufacturer.
ESD is a complex subject with many variables in the process and many failure mechanisms.
As the other answers have suggested, treat everything as ESD sensitive.