Something doesn't make sense. No pressure would quickly turn into a noisy clattering engine and you wouldn't want to run it that way.
Assuming the engine oil level is up to the full mark, you should see some pressure. It makes me wonder if you've connected to the correct port (10mm thread I believe).
Perhaps pictures of the dash light in question, the oil pressure switch, and the location where you installed the gauge would help to verify that we are on the same page.
If you can't get a reading on the gauge, I would take to a mechanic and have them take a look at it and run the test.