The hydrogen hamiltonian can be written as
$$
H = \frac{p_r^2}{2m} + \frac{L^2}{2mr^2} - \frac{e^2}{r}
$$
where $p_r$ is the radial component of the momentum. Since $H$ depends on $L^2$, $p_r$ and $r$, the hamiltonian commutes with every component of $\mathbf L$:
$$
[H, \mathbf L] = 0,
$$
which in turn means we can simulteneously diagonalize $H$, $L^2$ and one component of $\mathbf L$ (say, $L_z$). We can now introduce the rotation operator:
$$
D(\phi, \mathbf n) = \exp \left (- \frac{i \mathbf L \cdot \mathbf n \phi}{\hbar} \right ),
$$
which rotates the states by an angle $\phi$ around the unit vector $\mathbf n$. We can transform the hamiltonian under a rotation in the following manner:
$$
H \to H' = D(\phi, \mathbf n)^\dagger H D(\phi, \mathbf n).
$$
But $H$ commutes with $\mathbf L$, so $H$ also commutes with $D$, and thus $H' = D^\dagger D H = H$. We proved the hamiltonian is invariant under rotations. This means that some degeneracies will occur, i.e., some states will share the same energy. Note however that unlike I said previously (which was a mistake) you cannot rotate one state $|nlm\rangle$ to create one with different $m$ around the $z$-axis. Since the eigenstates of the hamiltonian are also eigenstates of $L_z$, the rotation operator will only introduce a phase factor on the state:
$$
D(\phi, \mathbf{\hat z})|nlm\rangle = \exp\left (-\frac{iL_z \phi}{\hbar} \right ) |nlm\rangle = e^{-im\phi}|nlm\rangle
$$
But states with different $m$ are orthogonal (their inner product is zero), which is clearly not the case for the rotated state above:
$$
\langle nlm | \big(D |nlm\rangle\big) = e^{-im\phi} \neq 0.
$$
Now, rotations around the $x$ or $y$-axis will change the value of $m$ since $|nlm\rangle$ is not an eigenstate of $L_x$ or $L_y$. Indeed, you can write $L_x$ and $L_y$ in terms of the ladder operators $L_\pm = L_x \pm i L_y$ which increase/decrease the value of $m$ to calculate the action of the rotation operator. The only thing I can guarantee you is in the end you will arrive at least in a linear combination of states with the same $n$ and $l$ but with different $m$'s.