No sectoids to capture
I think my game has reached a point where it can't progress any further.
I am about 10 months in and I have researched everything. Early in the game though I never caught a sectoid, the troops were too zealous on over watch. There have been no sectoids for months and I can't research past the interrogation.
I've caught a thin man and an overseer but haven't been given the opportunity to interrogate or research them. I am assuming that I need to do the sectoid first.
Am I stuck and need to start over or should I continue to hold out and hope they show up in a future mission?
You don't have to interrogate all the aliens. If they are not available for interrogation, and you have an Alien Containment it's because you've interrogated them in the past and forgot about it. You can see all the steps needed for progression here: What are all of the priority missions needed to complete the game?.
You only need to interrogate the sectoid for the full research achievement. It doesn't prevent you from advancing and finishing the game.
You can see here: What does the full research tree look like? it doesn't "block" any other research.