$\DeclareMathOperator{\colim}{colim}$ $\DeclareMathOperator{\Hom}{Hom}$ $\DeclareMathOperator{\Mod}{Mod}$ As described in the title, I'm trying to construct an example of a functor $\alpha: \mathbb{N}\to Mod(\mathbb{Z})$ such that $\colim \alpha \simeq 0$, i.e. a sequence of $\mathbb{Z}-$module and morphisms $\alpha(0)\to\alpha(1)\to\alpha(2)\to\cdots$ with trivial colimit. But there's a catch, no $\alpha(n)$ can be $0$, and similarly none of the morphisms $\alpha(i)\to\alpha(j)$ can be $0$.
I don't really have any how to start, I'm not really interested in just having an example, I'm more interested in understanding how one goes about making one up. All I can say is that since $\Hom_{\Mod(\mathbb{Z})}(\colim_{i}\alpha(i),M)\simeq \lim_i\Hom_{\Mod(\mathbb{Z})}(\alpha(i),M)$, if $\colim_i\alpha(i)\simeq 0$, then we must have $\lim_i\Hom_{\Mod(\mathbb{Z})}(\alpha(i),M)\simeq 0$ for any $M\in\Mod(\mathbb{Z})$.
Another example, which matches the intuition of Aphelli's comment: Define $\mathbb{Z}[\mathbb{N}]$ to be functions from $\mathbb{N} \to \mathbb{Z}$ which are zero except at finitely many points. We can make it into an abelian group by defining addition pointwise.
Then define $\alpha(n) = \mathbb{Z}[\mathbb{N}]$ for each $n$, and let the $n$'th arrow be the projection mapping the first $n$ coordinates to zero (thinking of elements in $\mathbb{Z}[\mathbb{N}]$ as sequences $(a_0, a_1, \ldots)$).
Then commutativity of the triangles in a cocone on $\alpha$ tells you that all maps to the vertex of the cocone must be zero.