In Interbase 4.0 it was possible return chr(0) from UDF
working sample:
ok.c:

char buf[256];

char * _export chr(short *i)
{
buf[0] = (char)*i;
buf[1] = 0;
return buf;
}

ok.sql:

DECLARE EXTERNAL FUNCTION CHR
SMALLINT
RETURNS CHAR(1) CHARACTER SET NONE
ENTRY_POINT "_chr" MODULE_NAME "ok.dll";

What about Interbase 6.0 ?