If you use shadow step on Reaper, and during the animation you hold down left click, when the teleportation animation ends you will fire a shot but it will not register a hit, and therefore do zero damage.
This doesn’t seem to be a visual glitch, as it does actually consume 1 ammo. If you follow the above steps, this will occur 100% of the time and is incredibly easy to do (even by accident.)
(note: I had originally reported this bug on the forums, with the statement that it was caused by his new “Shadow Blink” perk. I have later realised that having the Shadow Blink perk equipped makes no difference, therefore I am resubmitting the bug report.)