Less visibly embarrassed about initially having nothing! (3,1,5)

'nothing' is the definition.
(not a shred means not one bit of something)

'less visibly embarrassed about initially' is the wordplay.
I cannot quite see how this works, but
'less' could be 'notas' (I've seen this in another clue) and 'notas' is present in the answer.
'embarrassed' could be 'red' (someone may blush or go red when embarrassed) and 'red' is found in the answer.
A single letter 'h' remains which might be clued in a way I don't understand.
This explanation may well be incorrect...

'having' acts as a link.