Yes, many Presidents have vetoed bills on the basis of their lack of Constitutionality. At least back when Presidents gave a d@mn about the Constitution. Madison vetoed a bill providing federal funding for roads, because federal funding of roads isn't authorized by the Constitution (that hasn't stopped a boatload of Presidents since Madison, of course). Grover Cleveland vetoed a bill with federal aid for drought victims because the Constitution doesn't provide for federal funding for disaster victims (and THAT hasn't stopped a boatload of Presidents since Cleveland, of course).
It would be VERRRYYY interesting (to Constitution geeks like myself) to track the number of bills vetoed by Presidents on Constitutional grounds, since the Constitution went into effect. My guess is that the number of bills vetoed on Constitutional grounds has decreased dramatically since the "Progressive" Era.
For example, I'll bet a fair amount of money that President Clinton never vetoed a bill on Constitutional grounds. Instead, for example, he signed the Communications Decency Act...which was unanimously found to be unconstitutional by the Supreme Court.
I wonder when is the last time a president vetoed a bill on Constitutional grounds?