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Look at the ingredients list, if it has "partially hydraginated" or "hydraginated" then yes.
I have the box right in front of me and it says 0% fat. The ingredients do say there is a trace of hydrogenated soy bean oil in it. The manufacturer doesn't have to list the trans fat if it's less than .5 gram per serving. For the lable to say no calories from fat, it would have to be a very small amount indeed. So I guess the answer is yes, but just a teensy bit.
You can make your own sugar free cooked pudding mix with cornstarch and Splenda, and vanilla extract.