Is there any advantage to selling units before winning the game?

If you are really sure you don't need them any more you could dispose of them and take advantage of the extra gold you will have due to lower unit maintenance, otherwise there is no real difference.

The issue I suspect you might be concerned about is if doing this effects your score.

It doesn't, because units and gold are not counted. However, number of techs and future techs research do, so decreasing your gold maintenance might allow you to place a little extra in to science production and maybe squeeze an extra tech out before the game ends, giving a small point increase.

Once you win the game, its over. There is no carry over between games. So you should ditch them if you need the additional cash in order to conquer that last city, but otherwise you should just put them on sleep and ignore them.