In this work, hollow fiber porous nanocomposite membranes were successfully prepared by the incorporation of a porous nanoparticle (zeolite 5A) into a blend of linear low-density polyethylene (LLDPE)/low-density polyethylene (LDPE) combined with azodicarbonamide as a chemical blowing agent (CBA). Processing was performed via continuous extrusion using a twin-screw extruder coupled with a calendaring system. The process was firstly optimized in terms of extrusion and post-extrusion conditions, as well as formulation to obtain a good cellular structure (uniform cell size distribution and high cell density). Scanning electron microscopy (SEM) was used to determine the cellular structure as well as nanoparticle dispersion. Then, the samples were characterized in terms of mechanical and thermal stability via tensile tests and thermogravimetric analysis (TGA), as well as differential scanning calorimetry (DSC). The results showed that the zeolite nanoparticles were able to act as effective nucleating agents during the foaming process. However, the optimum nanoparticle content was strongly related to the foaming conditions. Finally, the membrane separation performances were investigated for different gases (CO2, CH4, N2, O2, and H2) showing that the incorporation of porous zeolite significantly improved the gas transport properties of semi-crystalline polyolefin membranes due to lower cell wall thickness (controlling permeability) and improved separation properties (controlling selectivity). These results show that mixed matrix membranes (MMMs) can be cost-effective, easy to process, and efficient in terms of processing rate, especially for the petroleum industry where H2/CH4 and H2/N2 separation/purification are important for hydrogen recovery.