Can I conquer anywhere if I have no pieces left on the board?
Absolutely, the rulebook (on page 4) under the section on Enemy Loss &amp; Withdrawals explicitly covers this:


  If all of a player's Regions were attacked this turn, leaving him with some Race tokens in hand but none on the board, he may redeploy these as if he was doing a First Conquest, on his next turn.


As stated in the other answer, you can also voluntarily withdraw troops from some or all regions.