Technically "no agent" option is an agent with id = 0, who "kill itself" at start of player's turn (it happening before "teleport in" animation) via added "lonestart" ability and being removed from agency after end of first mission via "modApi:setCampaignEvent_setRemoveAgent" (looking for stuff in modApi.lua is works), it prevent him from being marked as MIA and imprisoned.
Have a nice day!