What theme are you using? Where did you download it from?
Originally it was then Nautiliaus theme from Viva themes. The client handed it over to me and I am making customizations for them.
I’m sorry but as you appear to be using a non-WPORG theme, you need to seek support from the theme’s developers – paid or otherwise. We only support themes downloaded from wordpress.org here.
Try http://www.fabthemes.com/
assuming the nav is made with http://codex.wordpress.org/Template_Tags/wp_list_categories, adjust the parameter 'show_option_none'