Well, the size is obviously know at the moment you do the assignment. Either the matrix is smaller (or does not exist) before you do the assignment, in which case you can allocate the extra NaNs or it's big enough and already filled with NaNs, so you have nothing to do. So you could just write a function that checks the size before assignment and grow as appropriate.
Alternatively, if you're never going to assign 0, convert all the 0s to NaN when you are done:
A(A == 0) = NaN;
Alternatively, if some 0 can be assigned, store the values in a cell array, convert empty cells to NaN when you're done and finally convert to matrix:
clear A;
A{2,2} = 10;
%...
%done with all the assignments
A(cellfun(@isempty, A)) = {NaN};
A = cell2mat(A);
