It will depend on the animals size & the type of weapon used
Medium to large u should be OK headshotting with a sniper rifle or similar
smaller animals not so much
I haven't seen one that I know of, but I do still have a couple empty slots in my animal compendium.
Edit: I just went through the animal listing in my strategy guide (hardcover collector's edition, because that's how I roll, bitches) and there are no hedgehogs listed.