There is no Exit 0.  No source provided and it could not be confirmed from official sources.

Research led me to this source which shows that anonymous is not correct:
https://www.haddam.org/home/news/route-9-exit-signs#:~:text=Connecticut%20Department%20of%20Transportation%20has,exit%20signs%20along%20Routes%209.&text=The%20project%20is%20scheduled%20to%20be%20completed%20in%20March%202022.&text=The%20project%20is%20scheduled%20to%20be%20completed%20in%20March%202022.,-Original%20text