I am not quite sure what kind of answer you are looking for, but perhaps this helps ...
Of course every function of the form $g-g\circ\sigma$ (a coboundary) has integral $0$ with respect to every shift-invariant measure. So does every function in the closed linear span of coboundaries. Let us call this close linear span $B$. Are there functions outside $B$ with integral $0$ with respect to $\mu$?
As David mentions above, it can be shown that the property of having $0$ integral with respect to all shift-invariant measures characterizes $B$:
- a continuous function $f$ is in $B$ if and only if $\pi(f)=0$ for all
shift-invariant measures $\pi$.
On the other hand, if you have a continuous function $f$, then $f'(\cdot)\triangleq f(\cdot)-\mu(f)$ is a function with integral $0$ with respect to $\mu$.
So, if you are interested in continuous (of Lipschitz) functions with $0$ integral with respect to $\mu$ that are not in $B$, you can look for any continuous (or Lipschitz) function $f$ such that $\pi_1(f)\neq\pi_2(f)$ for two (arbitrary) shift-invariant measures $\pi_1$ and $\pi_2$, and form $f'(\cdot)\triangleq f(\cdot)-\mu(f)$. This would give you all the possible solutions.
In fact, since you are working with a mixing shift of finite type, you can use the following simpler characterization of Lipschitz functions in $B$:
- $f$ is in $B$ if and only if $\overline{f}(x)=0$ for every periodic
point $x$,
where $\overline{f}(x)$ denotes the average of $f$ over one period of $x$. So, you can look for any function $f$ that has different averages over two periodic points.