Reading documentation is hard apparently.
AFValue.CreateSystemNoDataFound() actually does exactly what I needed.
Also, thanks for the information Rick Davin! I will keep that in mind for future usage.
Can you explain more about what you are trying to do? Writing NoData events into the time series data is a BAD idea. NoData events have a special meaning in query response and adding them as actual data can cause the stream data to be misinterpreted in some cases.