I have spent parts of the past few weeks working through the nuances of how ArcPy supports, or doesn't support, empty geometries. I went ahead and created the suggestion on the ArcGIS Ideas site: Support Empty Geometries with ArcPy Geometry Class Constructors. I am working through submitting an enhancement request as well. I will update this post with the number when the enhancement request gets finalized.
I would be remiss if I didn't point out that David Wynne pointed out over on the ArcGIS Ideas site how the ArcPy Geometry Class constructors currently support building empty geometries, i.e., arcpy.Polygon(arcpy.Array(None)). I am thankful that David pointed it out because I had tried several similar ways that didn't work. That said, I think the current implementation violates at least two of the Python Zen aphorisms, so I am going to advocate for something simpler, e.g., arcpy.Polygon().
UPDATE: The enhancement request is ENH-000087299: Although creating empty geometries is supported using ArcPy Geometry Classes, there is currently no documentation on creating empty geometries. It isn't quite what I was going for, but the lack of documentation is the bigger issue at the moment.