No, I don't have any idea how much it would cost in margin to SHORT a .000N stock, but I don't believe it is as much as you think (definitely not the rumored $2.50/share).
Following are examples of stocks (with their signs) which DO REPORT SHORTS (PYCT DOES NOT), whose price is either .0001 or .0002 and were shorted (and reported). That's all I looked for, as I don't have to look further because .0001 stocks are obviously SHORTED.
CBYI===277,893====skull&Xbone===OCT
WTWO===10,040,000====yield======FEB
WRIT===1,052,000====QB==========OCT
EVCA===2,150,004===STOP=========OCT
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