I have two ideas:
Is it the character or the keyboard shortcut that’s having the problem?
Try assigning the AutoHotKey sequence to something different for the ZWNJ insertion, and see if that helps.
Alternately: in my Settings > Shortcut Mapper, I see that Main Menu: #58: Function Completion is assigned to that key sequence; yours may be a different number, but you could try to select Function Completion and CLEAR its shortcut, and then try doing the Ctrl+Space shortcut again.
If AHK cannot seem to insert it, even after playing with shortcuts, you might want a PythonScript solution.
create a short script, and save it in the appropriate directory for PythonScripts (in a <executable directory>\plugins\PythonScript\scripts for Machine Scripts, or in %AppData%\Notepad++\plugins\PythonScript\scripts for User Scripts)
editor.addText( u’\u200c’ )
assign it as a menu item using Plugins > Python Script > Configuration, selecting the appropriate Machine or User scripts, clicking ADD
assign it a shortcut via Settings > Shortcut Mapper > Plugin Commands
(I verified the PythonScript version worked, though I had to use the PythonScript console to run editor.setRepresentation(u'\u200C', "ZWNJ") to confirm it had really inserted the right character, and editor.clearRepresentation(u'\u200C') once I knew it was really there.)