• Bug encountered while playing on GeForceNow.
• Game owned on Steam, played on a PC.
• All DLC active, including TwR.
• No mods.
• I can't share any file

Half a dozen turns before the end of my last game, I nuked Makeda's capital and only city.

She was supposed to be then destroyed, not even having units roaming the world.

I got this message:

I did however only get it once the game was ended and I went on with it, so after winning and playing continue.

Before that, I could still contact her through diplomacy.

Are you sure there weren't any units roaming?

In my case I had to hunt down some Envoys (which can't even build new outposts) after capturing the last city with a forced surrender

I'm pretty sure, indeed.
I might have missed one, of course, but the coincidence with it being killed precisely at the same turn the game ended makes it an even harder to believe situation.