Perhaps because the 0 group is literally the absence or zero presence of antigens A or B, and it was usually identified by zero reactance to lab tests. It was also discovered in Austria, which is perhaps why Germanic adjacent countries use the zero, it was probably the first version. And when translated for the rest of the world someone made a typo and since the difference is immaterial it stuck. Or perhaps because it looked weird to mix letters and numbers that way in a classification system. Nomenclature systems are pretty arbitrary. It's weird what stays and what changes.

Norway uses zero as well. Don't know exactly why, but using zero does roll easier off the tongue when pronounced in Norwegian, and the name makes logical sense.

Norway does a weird mix

• Norwegian health authorities write the letter O but add "null" in parenthesis

Denmark uses zero

• Danish blood donation website writes zero
• Danish university hospital also writes zero

Haven't bothered looking up the rest of Europe, but the links to other languages on https://en.m.wikipedia.org/wiki/ABO_blood_group_system are a mix of both O and 0.