I've been in the same situation a few times, and it just gets annoying. Having spent ages either just camping, or running around the base like crazy (inevitably getting shot a few times) I have just given up and reloaded the game from before the mission. I've stopped playing on IM mode because of various balance issues and bugs (aliens seeing/shooting through walls, etc.) but if I had been I'd probably have started a new game as it is that frustrating.
Xenonauts is extremely fun and addictive, but seemingly never-ending "hunt the last wraith" situations just make it fall flat. The game no longer feels challenging, just broken. In outdoor daytime missions, wraiths are a great gameplay addition, forcing you to watch your back constantly, and it works because your team can scan a large area and so spot them. In the confines of a dark base it doesn't really work.
As for possible solutions, I'm not sure - maybe make it so that the distance a wraith can teleport is related to the number of turns since the last teleport, so if they're teleporting every turn then they can't move so far. Or impose a minimum turn limit between teleports. Or maybe make it so they can only teleport to a location that they (or another alien) can see.
Sorry Taking214 - I didn't mean to hijack your thread, but I'd actually been considering creating a post about this before, and it's interesting to see others have the same problem.