I've recently come across this problem too doing direct queries on the Esenmbl mySQL dbs. It appears that for some species there are no Entrez<->Ensembl ID mappings, and for species where mappings exist, they can be between different objects, either translations or transcripts:
For human, Entrez<->Ensembl ID mappings exist at the level of translations only:
mysql> use homo_sapiens_core_62_37g
mysql> select external_db_id, db_name from external_db where db_name like "EntrezGene";
+----------------+------------+
| external_db_id | db_name |
+----------------+------------+
| 1300 | EntrezGene |
+----------------+------------+
mysql> select distinct(ensembl_object_type) from object_xref, xref where xref.xref_id=object_xref.xref_id and external_db_id=1300;
+---------------------+
| ensembl_object_type |
+---------------------+
| Translation |
+---------------------+
For cow, Entrez<->Ensembl ID mappings exist at the level of transcripts only:
mysql> use bos_taurus_core_62_4k
mysql> select external_db_id, db_name from external_db where db_name like "EntrezGene";
+----------------+------------+
| external_db_id | db_name |
+----------------+------------+
| 1300 | EntrezGene |
+----------------+------------+
mysql> select distinct(ensembl_object_type) from object_xref, xref where xref.xref_id=object_xref.xref_id and external_db_id=1300;
+---------------------+
| ensembl_object_type |
+---------------------+
| Transcript |
+---------------------+
For orangutang, Entrez<->Ensembl ID mappings not exist for genes in Ensembl:
mysql> use pongo_pygmaeus_core_61_1g
mysql> select external_db_id, db_name from external_db where db_name like "EntrezGene";
+----------------+------------+
| external_db_id | db_name |
+----------------+------------+
| 1300 | EntrezGene |
+----------------+------------+
mysql> select distinct(ensembl_object_type) from object_xref, xref where xref.xref_id=object_xref.xref_id and external_db_id=1300;
Empty set (0.64 sec)
In my experience, if the mappings exist in the core Ensembl DBs then they will also be present in the Ensembl BioMart, which is a good place to get Entrez<->Ensembl ID mappings.
See also this BioStar post for other gene ID mapping solutions: Gene Id Conversion Tool
What pathway analysis tool are you using?
I used Biomart I select a filter to utilize an ID List that uploads a file of ENSEMBL IDs. I also select attributes for external reference choosing the ENTREZ ID.
Pathway Analysis tool used is
GOstats bioconductor package
My thought (quick fix) would be to use the NCBI mapping of Ensembl Gene IDs to Entrez Gene IDs.