Pergamon has no more buildings in its roster, has the top tier market I was able to build. Same goes all the others, markets are one of the first things I build. Got the message saying new settlement size, but no new governor's building.
Here's screenshots so you can see what I mean (for some reason all my government buildings were damaged last turn, I repaired them all):
The capital (note no "upgrade at 12000"):
Nikaia:
Byzantion:
And as an example of one that does say I can upgrade:
Bookmarks