I assume you went into the Available Values
settings for the parameter and specified a query to run to return the data to display to the user. This would cause a drop down to appear with the options and a "please select" choice. The user wouldn't have any "blank" options.
Note that the preview UI is for the preview version of Winforms. Web UIs may do something different so you should always test in the environment you intend to actually use the report in.
I also assume that, since there may be no data, you have enabled the option of Allow null value
on the parameter. This should cause a checkbox to appear to allow for NULL. You could also, in theory, use Allow blank value
but that would only be for textual parameters.