What support do I need to supply to support a nil tax return for time worked in UK?

I have been requested by SARS to complete a tax return for 2012 as I did not complete one at the time as I lived and worked in the UK for the entire 2012 tax period. In response to SARS request, I submitted a nil tax return and have now been requested to supply supporting documentation.

I am not sure what supporting documentation to supply - the lady at the SARS call centre said I need to get an affadavit from the police station stating I did not earn an income during that tax period. Is this correct?

That is correct yes, a statement saying you were not in SA and did not earn any income from South Africa. You can submit that and SARS should accept it.