You can turn off alpha blending, it's in the toolbar. Then, if you were to use the pencil to draw with, say, BGRA={0,0,0,0}, you would set those pixels to that value instead of blending 0,0,0,0 with the color that was already there (an effective no-op).
Is that what you meant? Paint.NET does not support a transparency color key, however. It's not out of the question, the rendering pipeline and framework wouldn't really need much reworking to support it, but was never planned for in the 3.0 timeframe.