I am hoping we have or if its possible to Create a report to show Distribution Groups that have no members
It is very possible. You should be able to take the library report "Distribution Groups and Members", copy to My Reports and edit the parameters.
Using a hidden parameter you can check for the Group Member Name and use the "Has A Value" operator with default value of False. This will filter the query to only return distribution groups that have no members.
Let me know if this helps.