I have explored the entire map with my caravel, but when I go to victory progress it still says that the Iroquois have their capital, even though they clearly don't. I should let you all know that I am on the play as you go tutorial, but I still think it should be winnable. https://gyazo.com/fe4d19200dd11d7df6763f3019150b04
The Iroquois capital city will be named Onondaga. If it is on the map and you have it captured then this is a bug.
If you have not captured Onondaga yet, then you must find it. I would say for certain that it is a bug but your screenshot above doesn't include a picture of Onondaga, so I'm going of the information that is available to me.
Just because you have explored the entire map does not mean there are not more cities that were founded after you explored a particular area. I have that happen in every game -- a place where I explored appears empty to me because I do not have any units nearby, but when I go through there again, there is a now a thriving city in my way.
If you want to keep active, accurate accounts of your map status, send scouts to every corner of the map, so that you have no "fog of war" and you'll more than likely find a city in a little nook that you previously explored.