I'd expect the same as any other failure from execv(2). Something like,

  zsh: Exec format error: empty-file
  (last command returned 127.)

(127 is the exit status for other failures, so I've used it here. The second line is intended to be part of my PS1, the first zsh's normal reporting. The string used here is what I get from perror() for that code.)

Status 129 or something else outside the usual range, plus a message that the file was not a valid ELF and also has no shebang, therefore cannot be executed.