The molecules that make up ethanol are held together by strong hydrogen bonds and from what I can remember hexane has non-polar covalent bonds?
The carbon and hydrogen atoms in hexane are held together by covalent bonds (both polar and nonpolar) but hexane molecules are held together by van der Waals forces. Ethanol molecules, too, are held together by van der Waals forces but also, as you note, hydrogen bonds.
Ethanol and hexane have different bonds holding their molecules together, this would mean breaking the bonds of these substances apart would require a lot of energy, and so during the breaking process a lot of energy will be used to break these bonds. Because ethanol and hexane are miscible, this would mean that they have compatible interactions in a way? Because to be miscible substances must have similar intermolecular bonds, would this be right?
As in any chemical process, the favorability of mixing is determined by a combination of entropy and ethalpy. (ΔG = ΔH - TΔS). Mixing usually results in an increase in entropy, which you should know from every day experience. If you take blue marbles and red marbles and toss them together in a jar - a scenario in which there is essentially no enthalpic considerations - it is certainly favorable from them to mix.... and it will take some energy to separate them.
Therefore, whether two solvents will mix or not is usually determined by whether it is enthalpically favorable for them to do so. In brief terms, because mixing entails no (covalent) bond breaking, enthalpy considerations for mixing boil down basically to the sum total strength of electrostatic interactions in the pure substances versus those in the mixture. To mix, you have to disrupt some interactions in the pure substances, and these are replaced by new interactions in the mixture. Whichever wins out will determine miscibility. That is, if the intermolecular interactions in the mixture are stronger than those in the pure substances, mixing happens because the enthalpy change is negative. If not, not. (Not completely true: more accurately, two solvents will mix if their enthalpy change in the negative is enough to overcome the generally positive contributions due to entropy, which are not insubstantial. Mixing can be result in an "unfavorable" change in enthalpy but still happen because the entropy change is positive enough to dominate. Hint! Hint!)
Now let's consider your mixture and some other similar mixtures. By consulting a solubility chart, e.g.,
here, we can see that, as your experiment shows, ethanol and hexane are expected to be miscible. What about hexane and methanol? Hexane and water? Hexane and propanol? More generally, do you see more immiscible mixtures or miscible mixtures? Start by thinking about that and we'll see where we go.
(If it helps, you can think of the problem of solubility of a solid in a liquid, which is governed by many of the same principles. )
(Also, one thing to keep in mind, is that the enthalpy of mixing, and therefore miscibility, is dependent on the mole fractions of the two substances.)