You don't have to provide a certificate from your country of citizenship if you've never lived there.
http://www.immigration.govt.nz/migra...cecertificate/
But specifically:
Residence
- All applicants aged 17 years or over must provide police certificates at the time a residence application is lodged unless there is a different instruction in the country-specific information (see below).
- If you have lived for periods of 12 months or more in any other countries during the last ten years, you must also provide police certificates from these countries,
and also your country (or countries) of citizenship unless you can provide satisfactory evidence that you have never lived there.
I guess the trick might be proving you've never lived there - not quite sure how you do that.