I also ran into this limit late in the game, when most of the map was mine. I did check all the remote, newly gained, spear-won, colonized etc. cities too but they were all full. At that point it didn't matter though as my unit cap was already waaay above what I was using and I didn't need more macedonian troops anyway.
I thought this migrant abundance was just there to not penalize people for favouring one direction of expansion over another.
PS: Checked - with every single quest finished and the whole map conquered, I had 8 migrants I couldn't settle anywhere. But again, at that point, what does it matter? ;)