Are there any unicorns left in Tamriel?

Yes

The Unicorn was a Daedric being made from the flesh of a Daedric prince I think, kind of like Dremora.

There were unicorn horns as ingredients in Daggerfall, so the one in Oblivion wasn't unique. But they are probably an endangered species and Hircine is the type of guy to send you after the last member of a species.

I think they were originally a scrapped monster idea for Daggerfall, like faeries, wild elves, and faerie dragons.