To draw a polygon with no fill, use the drawing tool. First select the desired line type or line style. Click the Vertex box if desired, then draw the polygon, finishing back at the starting point. If you use a Vertex Line, you can double click at the end point to finalise your polygon.
You will not be able to put fill in a polygon drawn in this way.
Note that vertex shapes - both lines and polygons - are easier to edit because there are edit points only at the vertices. Freehand shapes can have many edit points, depending on how smoothly you draw the line (faster is generally smoother). This can make the editing process more tedious and time consuming.