I think it bears some resemblance to Nietzsche's idea of man as his own creator as well as later existentialist ideas. As I interpret Stirner, the self is a "creative nothing" in the sense that it has no fixed nature or essence but rather creates its own "nature" through its own wilful activity. The self is a "nothing" in that it cannot be captured or defined by any concept, since concepts or definitions are fixed and unchanging, whereas the self is constantly transforming and transcending itself. The self is a "nothing" in that it cannot be identified with any of its external manifestations, e.g. its social role or personal properties, since the self is always free to reject these external forms. The self is not a "nothing" in the sense of emptiness, however, but a creative nothing that only exists by appropriating and externalizing itself in objects which thus become its "property". Of course, for Stirner, the self is absolutely free to enjoy or discard its property like any other owner of private property.
