Well, you could basically migrate anywhere.
I´ve always wanted to try to migrate as Carthage to Sidon and survive against all odds, but it seems near impossible (the new Saka-Rauka VH/VH?).
KH can indeed go almost everywhere, Emporion and Sinope are two I believe have not been mentioned.
Moving as Baktrians or Saka-Rauka to India could be fun, especially if you only recruited Indian units (and no Indo-Hellen ones).
Luso´s to Ireland could work.
Sweboz to Bastarnolandam to play as the Bastarne, though you´d have much the same units.
Gauls to Odrysai and Getai to Bithynia or Byzantion.
Epeiros migration to become Illyrians, not a long migration but you can´t really recruit any Epirote units in Illyria.
Sab´yn to Axum or Meroe.
I love Quintus Sertorius idea about Sab´yn as Numidian though.