We receive absolute confirmation from The Architect (in his famous speech) that outside Zion, there are no living humans:
The Architect: The function of the One is now to return to the source, allowing a temporary dissemination of the code you carry,
reinserting the prime program. After which you will be required to
select from the matrix 23 individuals, 16 female, 7 male, to rebuild
Zion. Failure to comply with this process will result in a cataclysmic
system crash killing everyone connected to the matrix, which coupled
with the extermination of Zion will ultimately result in the
extinction of the entire human race.
Interestingly, we actually know of at least two instances where free humans are living outside of Zion (from the webcomic "The Miller's Tale" and the Animatrix short "Matriculated") so the Architect may be slightly exaggerating when he says that humanity will be lost if Neo refuses his task.
Out of universe
There are several sources that confirm that Zion is the last human city, notably from the original box blurb on the 'The Ultimate Matrix Collection DVD Box Set':
In the powerful second chapter of the Matrix trilogy, Neo (Keanu
Reeves), Trinity (Moss) and Morpheus (Fishburne) lead the revolt
against the Machine Army as it attacks Zion, the last human city on
Earth, unleashing their arsenal of extraordinary skills and weaponry
against the systematic forces of repression and exploitation. In their
quest to save the human race from extinction, they gain greater
insight into the construct of The Matrix and Neo’s pivotal role in the
fate of mankind. What is The Matrix? The question is not yet fully
answered. And it leads to another: Who created The Matrix? The answers
lead to more worlds of bold possibility – and to a destiny that passes
from revelations to Revolutions.
From this interview on 'Ain't It Cool News' "My Life as a Matrix 2 Extra";
As I pulled into the designated parking lot, saw the sign that read
"Zion Extras Parking". Zion, as you recall, is the last human city
outside the computer-controlled Matrix reality. Would've taken a
picture of the sign, but there were parking attendants, and I had been
given instructions forbidding cameras. Decided I'd just take a picture
at the end of the day when I leave.
and this interview with Gina Torres from MTV.com
Torres added that her character doesn’t dwell in the Matrix itself. “I
guess that much I can tell you: I’m in Zion,” the last human city, she
said. “I’m Real World.”
and this interview with Joel Silver from Empire.com
What Silver will confirm is that the expanded storyline was fully in
place before The Matrix became a $460-million global phenomenon.
"Actually the first script ended further than the movie - you actually
went to Zion (the last remaining human city), which we really felt we
just couldn't do. We had too much story, so we just backed up a little
bit. But we knew that the story continued."