Hollow hair is a dead air-space insulator. Elephants keep cool by being relatively hairless.
And even so, they employ evaporation to cool down when they can.
Ele keeps cool by a) having very thick skin and b) by covering himself with mud, c) lounging in the shade much of the day.
Haired or not, critters have mechanisms, both physiologic and environmental to either warm or cool themselves.
One size does not fit.
It’s true that elephants aren’t furry, although they do have hair. Asian elephants have more noticeable hair than do African ones. So far, I’ve only heard from a number of safari guides that they regulate their temperature via their ear flapping.