The commentary in lisp/kmacro.el says "Note: an empty macro is never
added to the macro ring.", but here is a way to add an empty macro to
the ring using kmacro-end-call-mouse, which is by default bound to
S-mouse-3. I am not aware of any serious side effects of there being an
empty macro in the ring.

To reproduce, with emacs -Q and the mouse pointer positioned over your
Emacs window:

C-x ( aaa S-mouse-3
C-x ( S-mouse-3
C-x ( bbb S-mouse-3
C-x C-k C-n C-n C-n

This defines three macros, one which inserts "aaa", an empty one, and one
which inserts "bbb". Then the repeated C-n's of the last step cycle
through the macros in the ring and display them in the echo area.

I'm attaching a patch which makes kmacro-end-call-mouse do the same
thing that kmacro-end-and-call-macro does in this case, which is to end
the definition of the empty macro, pop the empty macro off the ring, and
then run the macro which becomes current.