ReLU is not discontinuous; it is nonsmooth but continuous, hence derivatives exist except at the hinge points.
Inherently discontinuous functions OTOH are disconnected and nonconvex. Gradient descent works, but you have to add a step to first partition the discrete space like branch and bound. This involves solving the continuous relaxation to find a bound. This does not require differentiability (it is not differentiable), but the price to pay is that it is combinatorial (NP hard)
The OP was talking about general differentiability but inherently discontinuous functions form a large and important class of functions (from software programming) that are not differentiable.