There were two (that I know of) episodes of The Gong Show where all of the eligible acts were either gonged or interrupted for some reason (in one case, it was during the show's last week, so they had a lot of returning acts, including "The Worm"), so nobody won the prize.
There was one tournament episode of Jeopardy! - in the last seniors tournament, I think - where none of the players had a positive score at the end of Double Jeopardy, so they didn't even bother with the FJ question (the three players got whatever they paid first-round tournament losers back then - $1000, I think - but technically that was a consolation prize).
Those are the "definite" ones I can think of off the top of my head. I can think of some "possible" ones:
It's possible that a couple on The Moneymaze won zero - at least one couple lost all of the first three rounds but ended up winning the game, and they could have won zero in the $10,000 Dash.
I assume a number of episodes of GSN's Friend or Foe had everybody saying "foe" so nobody won anything?