How can I make a hole between two different thermal zones?

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If the purpose of the hole is to let the zone interchange air than you don't need to make actual hole. In that case you need to setup Zone Mixing.

To do that you will need to set the part of the wall to be opened to Airwall in both spaces. Start by making new material in the Constructions tab by selecting Air Wall Materials in the Materials tab and clicking the green plus in the bottom. Go to the Construction tab and add new construction (name it as you wish) and add the new Air Wall material you just created to it.

Go to the Spaces tab and select the Surfaces tab in the upper part. Select the My Model tab on the right then find and click on the Construction title below. Locate the Air Wall construction you just created and drag it to the construction column in the main screen in the rows which match the matched surfaces to be concave (at least two surfaces, one for each thermal zone).

Now that the air walls are in place you have to set the zone mixing. To do that you will have to download a measure from BCL (NREL Building component library). To do that go to the Measures tab and click on the Find Measures on BCL. In the popup screen select HVAC then Distribution . Select the Air Wall Zone Mixing measure and click the download button. Close the popup window. Now you can use the Apply Measure Now from Components & Measures menu to activate the downloaded measure. In the Measure you can set the coefficient of the mixing.