There are some zero or negative GWP gases actually, like water vapor which hovers around the zero point plus or minus epsilon, HFE 365mcf3 which is below 1, and obviously argon and nitrogen are at zero. Mostly people don't record GWP values that are below 1 since e.g. any common constituent of the atmosphere contributes negligibly.

It's remarkably hard to find organic compounds that are less-bad than CO2 though. It really is the very bottom of a local minimum.