First: The details. This fact came not from a recently published study, but from a Wall Street Journal interactive tool that allows you to look up data about pay and employability by undergraduate college major. The data in the tool is drawn from previous research done by the Georgetown Center on Education and the Workforce, an independent research center at Georgetown University. So they're not just pulling this out of thin air.
If you want to see where the information comes from in more detail, there are a couple of relevant reports: One comparing the economic value of different college majors, and another looking at the demand for people with science, math, engineering, and technology skills.
Here's what I found scanning through those reports:
• In the college majors report, the sample size of astronomy and astrophysics majors was very small—small enough that the researchers couldn't put assign those majors a statistically significant median salary. So when you see 0% unemployment, that could represent a small number of people surveyed. It could also represent the fact that this is a small field, to begin with.
• The same report stated that 94% of astronomy and astrophysics majors were employed. That's pretty good for a single major. But it's not 100% employment, either. I couldn't find a mention of 0% unemployment for astronomy and astrophysics majors in either Georgetown report. It could be that the Wall Street Journal was using background data from these reports, but making the calculations of unemployment percentages in a different way.
• Just because they're employed, doesn't mean they're employed as astronomers and astrophysicists. In the sciences, you're usually paid to go to graduate school, so that often counts as being employed, depending on who is doing the calculations. The Georgetown report also shows 8% of astronomy and astrophysics majors are employed in food service jobs, and another 8% in office jobs.
As near as I can make out, it boils down to this: Astronomy and astrophysics grads are pretty employable (as Neil deGrasse Tyson says, "There are no street physicists") but they're probably not perfectly employable, and definitely not perfectly employable within the fields of astronomy and astrophysics.