The volumes are defined by the exterior surfaces. If there is a problem with how they are mathematically represented, the mesher may have a problem. A shell mesh of all surfaces with Tri elements will provide a quick check and may flush out some of these problems. You want to use Tri elements because they will look more like the Tetra element faces that would be created on the exterior surfaces during a solid element mesh. This test will perform some checking of the integrity of the geometry as well as highlight areas around small features that the mesher may have problems with.
Check for errors that may pop up. Pro/MECHANICA Independent Mode will highlight areas that have a problem. Look at these areas but do not use the Ctrl-Mouse keys to change the model view. Use the F2 (rotate), F3 (pan) and F4 (zoom) along with the left mouse button to change the model view. Some of the geometry or features will be put into special groups. These groups are similar to Layers in Pro/E and may be turned on and off.
If no errors are reported, look at the mesh for dense populations of elements or points. This would be and indication of some geometry errors or small features that the mesher must deal with.
Delete the Shell mesh or use the Undo button to clean the model up for the next step.
Possible solutions may be to de-feature the offending geometry, recreate the geometry in Pro/E using a different technique, fudge the geometry so that it is approximately the same but not exact, try an IGES or STEP file round trip into Pro/E or repair the geometry in Independent Mode and run the model there.