The literal meaning of そんなわけで is "for that reason" or "therefore", which is obviously inappropriate at the very beginning of any conversation. ねえ (=ない) in this context is "impossible; unsuitable; unacceptable", not "nonexistent". This も is essentially a mild version of は (explained here).
開口一番『そんなわけで』もねえとは思わねえのか
Don't you think (saying) そんなわけで at the very beginning is unacceptable?
However, そんなわけで, てなわけで or such is common at the very beginning of a TV program, a manzai bit, an online meeting, etc. See this. This is often completely natural and harmless, just as starting a conversation with "So" is often safe in English.
Still, this type of そんなわけで ("So, ...") is a fairly casual conversational expression, and it's not a suitable word used before telling important news like this one. His irritation is understandable because the first speaker's way of speaking is too casual compared with its content.