The blackboard symbols are only supported for a subset of the available font slots. Running the MWE
\documentclass{article}
\usepackage{amsmath}
\usepackage{amssymb}
\pagestyle{empty}
\begin{document}
\[\mathbb{N_0}\]
\end{document}
through pdfLaTeX reveals the used fonts:
<.../texmf-dist/fonts/type1/public/amsfonts/symbols/msbm10.pfb>
<.../texmf-dist/fonts/type1/public/amsfonts/symbols/msbm7.pfb>
The font glyph table is available by testfont.tex:
$ pdftex testfont
This is pdfTeX, Version 3.14159265-2.6-1.40.17 (TeX Live 2016) (preloaded format=pdftex)
restricted \write18 enabled.
entering extended mode
(/cygdrive/c/Users/one/tl/tldevsrc/Master/texmf-dist/tex/plain/knuth-lib/testfo
nt.tex
Name of the font to test = msbm10
Now type a test command (\help for help):)
*\table\bye
[1{.../texmf-dist/fonts/map/pdftex/updmap/pdftex.map}]
<.../texmf-dist/fonts/type1/public/amsfonts/cm/cmr10.pfb>
<.../texmf-dist/fonts/type1/public/amsfonts/cm/cmr7.pfb>
<.../texmf-dist/fonts/type1/public/amsfonts/cm/cmti10.pfb>
<.../texmf-dist/fonts/type1/public/amsfonts/cm/cmtt10.pfb>
<.../texmf-dist/fonts/type1/public/amsfonts/symbols/msbm10.pfb>
Output written on testfont.pdf (1 page, 74724 bytes).
Transcript written on testfont.log.

A poor man's blackboard simulation
The engines pdfTeX or LuaTeX in PDF mode allow stroked outlines of vector fonts. Package pdfrender provides an interface:
\documentclass{article}
\usepackage{amsmath}
\usepackage{amssymb}
\usepackage{pdfrender}
\DeclareRobustCommand*{\pmbb}[1]{%
\textpdfrender{
TextRenderingMode=Stroke,
LineWidth=.1pt,
}{#1}%
}
\pagestyle{empty}
\begin{document}
\[\mathbb{N}_{\pmbb{0}}\]
\end{document}

Natural numbers
If the subscript 0 has the meaning to add zero to the list of natural numbers, then this is not typeset with a blackboard font, because zero is an element, not a set. The subscript is set as normal 0:
\documentclass{article}
\usepackage{amsmath}
\usepackage{amssymb}
\begin{document}
\[\mathbb{N}_0\]
\end{document}

$$<mathcontent>$$. Instead typset\[\mathbb{N}_{0}\]. – azetina May 25 '16 at 16:23$$seems to be http://tex.stackexchange.com/questions/503/why-is-preferable-to/69854#69854 – David Carlisle May 25 '16 at 16:28\mathbb{N_0}; instead, write\mathbb{N}_0. – Mico May 25 '16 at 16:30