My first guess is that you have made spaces in OpenStudio and created surfaces for those spaces, but you have not assigned any of the spaces to thermal zones. Each thermal zone can contain one or more spaces. In the OpenStudio SketchUp plugin you can use the Set space attributes tool or the user script that will create one thermal zone for each space that isn't currently assigned to a thermal zone. In the OpenStudio application you can assign zones on the thermal zone tab. Let me know if that doesn't address the issue.