In the final episode, Thessaloniki (?) stops selling sculpture, and it was the only city that had it. There is no other place to raid, buy, demand, etc. sculpture from, can't make it myself (even with so much available bronze!) so there is no way to finish building the required pyramids.
Otherwise, this adventure was lots of fun, and I love your maps! Interesting, challenging, with plenty of room to build and options to take. Thanks!