This paper presents a mathematical model for tumour-immune response interactions in the perspective of immunotherapy by immune checkpoint inhibitors ICIs. The model is of the nonlocal integro-differential Lotka-Volterra type, in which heterogeneity of the cell populations is taken into account by structuring variables that are continuous internal traits (aka phenotypes) present in each individual cell. These represent a lumped ``aggressiveness'', i.e., for tumour cells, malignancy understood as the ability to thrive in a viable state under attack by immune cells or drugs - which we propose to identify as a potential of de-differentiation -, and for immune cells, ability to kill tumour cells, in other words anti-tumour efficacy. We analyse the asymptotic behaviour of the model in the absence of treatment. By means of two theorems, we characterise the limits of the integro-differential system under an a priori convergence hypothesis. We illustrate our results with a few numerical simulations, which show that our model reproduces the three Es of immunoediting: elimination, equilibrium, and escape. Finally, we exemplify the possible impact of ICIs on these three Es.