If there was a leak from the cylinder to one of the jackets wouldn’t there be another sign? Especially if the leak is so bad that there is no compression? Seems to me I’d either be burning coolant or possibly getting dirty coolant. I’m no expert though.
You are correct to be suspicious of other symptoms, but with the information you have provided it is difficult to draw a conclusion. As you have confirmed you have compression in the other 3 cylinders, which tells us your testing process was successful. The following question is why is cylinder 4 showing 0 PSI?
The next step is usually a leak down test if nothing else is obvious, as you are experiencing in your case.