I had a user ask why some dimension styles cannot be purged even if all the dimensions are deleted from the project.
Most probably the dimension style is used in a family that is loaded in the project.
When you select all dimension instances in the entire project, it will not select those included in the families. But the purge function will 'see' that it is still used in a family and therefore it will not be listed in the purge dialog.
So you will have to find in which family the dimension style is used.
I don't think there is an easy way to do it. I would make a copy of the project and then delete a bunch of families until the dimension style can be purged, then refine the research until to find the family that contains the dimension style.
Start with some of our most frequented solutions or visit the Installation and Licensing Forum to get help installing your software.