Currently, all memberships have to be sent through PayPal, in order to be managed by the Nice Memberships extension. And, PayPal does not except zero dollar transactions. However, since the Nice Memberships extension utilizes the native Joomla user management system for all of its users, you can simply add the selected "free" accounts as standard Joomla users assigned to the user groups that relate to the memberships. The free users will not show up under the Nice Memberships system. But, they will enjoy the same level of access as the paid members.
~ All the best