Off-market transfer of shares in GnuCash

...how to deal with the fact that no money changed hands.

This doesn't factor into the question- instead what you're missing here is some fundamental understanding of accounts and transactions. The shares in question are moving between accounts, and the capsule for moving anything between two accounts is a transaction. Just because you're creating a transaction, doesn't mean a sale has taken place. For example. if I move money between my checking and my investment account, I create a transaction with both accounts as splits, then label the transaction as a "Transfer" in the description. If later I sell stock, the fundamental elements of a transaction are still there, but I make it a sale by setting the type on the split to "Sale", adding additional splits for Income:CapitalGains, giving it an appropriate description, etc.

When you move shares between accounts in gnucash, the price is intrinsically included in the split (because the relationship "shares * price = total" must balance out). So as long as you make sure to enter the same price and share count for the split into the new account, you will be fine (no imbalance left over to be accounted for).