Nymeria Sand
Challenges Action: Choose an opponent's character. Until the end of the phase, that character loses a challenge icon of your choice, and each Sand Snake character you control gains that challenge icon.
Can I choose a challenge icon, which the opponent's character does not have at the moment?
Since there is a rule about (negative) modifiers (RR page 13), I believe, that the character can have a negative amount of challenge icons, although it is treated as having none.
Same situation arises with
Maester Caleotte
Reaction: After you lose a challenge in which Maester Caleotte is participating, choose a character. That character loses a challenge icon of your choice until the end of the phase.