They're probably rounding the calories down, which they're allowed to do.
I think a food manufacturer can list a food as '0' calories so long as it's five calories or less per serving. That's why Splenda packets are listed as 0 calories, though a cup of Splenda is actually 93 calories.
Fitday lists dill pickles at 26 calories per cup, (so they're hardly anything) but sweet pickles are almost 200 calories per cup. So the calories depend on the type of pickle you're eating.
Back to your original question, a cup of cucumbers is listed in Fitday as 15 calories so you're right -- cucumbers are actually slightly lower in calories than pickles.
To my knowledge, there isn't ANY food with 0 calories -- everything has some calories, regardless of how negligible. Certainly dill pickles and cucumbers have to be among the absolute lowest calorie foods, so I say enjoy them!!!