I think it is confusing to use (values) for that purpose, because "no values" is also a valid return value (e.g. for reader macro functions http://www.lispworks.com/documentation/HyperSpec/Body/02_add.htm).
I would make it a macro, called something like void.
OTOH, use of (values) or (void) will prevent tail call optimization, so may be undesirable.