oh my god… everybody knows that… and I’m from Mexico City…
Uh, what?
Considering that the first use of OK in print (1839) clearly states that it’s an abbreviation of ‘Oll Korrect,’ I’d have to say that you’re mistaken.
Now, what’s the word on the street in Mexico City about “the whole nine yards?” 
Welcome to the Straight Dope! A link to the column in question is: “What Does OK Stand For?”
And I’d like to point out that there’s a whole lot of things that “everybody knows” that just ain’t so. Note the multiple incorrect origins of OK listed in Cecil’s column. Or here. Or [url=http://www.wordorigins.org/wordoro.htm#ok Lots of people “knew” those incorrect origins were right, but, alas, they weren’t. Perhaps you could say why you know this alternate explanation to be true?
Dang. First vB coding error I’ve ever made. Try here for that last link.
Sorry, you get 0 korrect.
I put “cero killed” into Google and got eleven hits in Spanish. When I translated a couple I did indeed get cero killed as an explanation for OK.
I certainly had never heard this, out of all the multitude of alternate explanations for the term, but there are several competing versions of its origin on these Spanish pages. I have to assume that it may very well be specifically that trancie is from Mexico City that caused him to think this.
Wouldn’t that be cero mató?
Reference a historical document using it, and it gains an iota of credibility.
Oddly enough, Googling “+OK +‘zero killed’” brings up French-language pages as the first four hits, followed by another non-English (Scandinavian?) page. In fact, only 11 of the first 30 hits are English (the others neing French, Spanish, Portugese, and Scandinavian(?)), and most of the ENglish hits relate to some character named “zero” killing someone else. Rather unusual to get such a high proportion of foreign-language hits for an English phrase. So, for whatever reason, this alternate explanation seems to be more popular/well-known overseas.
Like I said, if anyone finds one document dating this usage, they get a cookie.
I read several of the French and Italian sites on the subject. Several of the French sites found through a Google search are actually links to a French novel by Laure Ly with the title “Zero Killed - OK”. Other sites mention that during the US civil war US army officers would use the notation “0K” for zero killed, but there is not original authority given for this factoid. Finally on one French site a poster said “I seem to remember this fact being given in a (Jean-Luc) Godard film.” Which, if true, might explain why the legend is more prominent in European countries.