Zero heat capacity means an infinitesimally small amount of energy will increase the temperature by an infinitely large amount.
An object has a non-zero heat capacity because it has internal degrees of freedom that it can channel absorbed energy into. The more internal degrees of freedom the higher the heat capacity.
However, the moment when we add the smallest amount of heat the temperature increases, some states become accessible and the specific heat becomes non-zero. The zero specific heat is more of an idealized limit than a real phenomenon.