In nonsequential mode there is a rule for overlapping objects. The object that occurs last in the nonsequential components editor defines the overlapping space. So one way to define the mirror with the hole is to define the mirror without the hole first, made of a material other than air, such as MIRROR, and then define a rectangular volume that penetrates the mirror, and make the material blank, meaning air. 

You can also do this with Boolean operations as described  here.

in addition to what @David said, you may want to read about the difference between using the “nesting rule” (object that occurs last defines the overlapping space) and a Boolean object in this article:

https://support.zemax.com/hc/en-us/articles/1500005487401-Improving-non-sequential-ray-tracing-speeds-with-nested-and-Boolean-objects

Take care,

David