Specify a Blank or Null value for a String Record in a Data Group

Just to be clear, are you talking about the string (key), or its corresponding value? The system won't let you use a null string, but you can definitely use a null value (though that changes with 11.4). If you do need a null string, I would recommend testing for that first, and then testing the data group. Example:

when HTTP_REQUEST {    
    if { ( $foo equals "" ) or ( [class match $foo equals my_dg] ) } {
         do something
    } else { 
         do something else
    }
}