Objective. Recently, deep learning models have been used to reconstruct parallel magnetic resonance (MR) images from undersampled k-space data. However, most existing approaches depend on large databases of fully sampled MR data for training, which can be challenging or sometimes infeasible to acquire in certain scenarios. The goal is to develop an effective alternative for improved reconstruction quality that does not rely on external training datasets. Approach. We introduce a novel zero-shot dual-domain fusion unsupervised neural network (DFUSNN) for parallel MR imaging reconstruction without any external training datasets. We employ the Noise2Noise (N2N) network for the reconstruction in the k-space domain, integrate phase and coil sensitivity smoothness priors into the k-space N2N network, and use an early stopping criterion to prevent overfitting. Additionally, we propose a dual-domain fusion method based on Bayesian optimization to enhance reconstruction quality efficiently. Results. Simulation experiments conducted on three datasets with different undersampling patterns showed that the DFUSNN outperforms all other competing unsupervised methods and the one-shot Hankel-k-space generative model (HKGM). The DFUSNN also achieves comparable results to the supervised Deep-SLR method. Significance. The novel DFUSNN model offers a viable solution for reconstructing high-quality MR images without the need for external training datasets, thereby overcoming a major hurdle in scenarios where acquiring fully sampled MR data is difficult.