Maybe you are looking for something more interesting, but you can take $X=S^1$, universal cover $\tilde X$, and $\rho: {\mathbb Z}\to O(n)$ such that the image group has no fixed unit vectors in $R^n$. Then $H_*(\tilde X,\rho)=0$ (which is a nice exercise to work out if you are new to this material). A more challenging problem would be:
Construct a finite CW-complex $X$ such that for each $n\ge 2$ there exists a representation $\rho: \pi_1(X)\to SO(n)$ with vanishing homology.
If you are interested in 3-dimensional topology, here are two classes of examples you should be aware of:
a. Suppose that $X$ is a closed connected orientable 3-manifold with finite nontrivial fundamental group $\pi$ and $\tilde X\to X$ is its universal covering. Then for each $\rho: \pi\to O(4)$ such that $\rho(\pi)$ has no fixed unit vectors, $H_*(\tilde X,\rho)=0$. (Examples of such $\rho$ are given by the fact that $\pi$ embeds in $SO(4)$ so that the image group acts freely on $S^3$.)
b. Suppose that $X$ is a closed connected orientable arithmetic hyperbolic 3-manifold and $\tilde X\to X$ is its universal covering. Then there exists a representation $\rho: \pi_1(X)\to O(3)$ such that $H_*(\tilde X,\rho)=0$.
Edit. At the same time, there are spaces for which your property does not hold, for instance a space whose fundamental group admits only trivial orthogonal representations.