Using Migrate API with a multi-page / paginated source
https://www.drupal.org/node/2640516 is the issue to add this support to migrate_plus.

In the meantime, in a case where I knew up front how many pages there were, I simply listed the pages in the urls configuration:

source:
  plugin: url
  data_fetcher_plugin: file
  data_parser_plugin: json
  urls:
    - http://www.example.com/api/search?query=blahblahblah&amp;rowlimit=500
    - http://www.example.com/api/search?query=blahblahblah&amp;rowlimit=500&amp;startrow=501
    - http://www.example.com/api/search?query=blahblahblah&amp;rowlimit=500&amp;startrow=1001
...