When I export, Premiere Pro decides how many pictures it is going to need to create and numbers accordingly.
If you have less than 1000, I believe it will use 001 and if you have between 1000 and 9999 it should use 0001 and if you have 10,000 to 100,000 then it should use 00001.
So if you have less than 1000, and you want 0001, then put something 1001 frames out so that it will create the necessary black frames to give you the number format you desire.