If one dislikes the idea of 5,000 or so sectors (a perfectly reasonable opinion to hold, I hasten to add, I'm not wedded to that figure myself) and prefers to think in larger terms, I think there are a few options to increase the scale. One thing that occurred to me is that not every Imperial world need necessarily be within a Sector or subsector.
The assumption most of us work with is that all Imperial worlds are clustered together in political groups that form Subsectors, and these are clustered together into Sectors. The consensus (based on FFG material about Calixis-regional sectors, Dan Abnett's work on the Scarus sector, the Eye of Terror campaign/13th Black Crusade campaign, the Armageddon campaign and Battlefleet Gothic) seems to be that these form groups of 75-200 worlds. I suspect the truth is messier.
Have a look at the Badab War map. Note the Badab Sector in the centre. Note how it consists of eleven (by my count) irregularly sized subsectors. Note also how it's not the traditional "Sector cube" that the Ixaniad, Scarus and Calixis sectors are portrayed as being in the FFG sourcebooks.
However, note also the cluster of three smaller, subsector-sized political entities in the top left of the map. What is this? A sector? It's a bit small if it is. Note also what appears to be a free floating single subsector not associated with any surrounding sector-sized political groupings.
Now this is thin evidence, but I would posit the idea that it stands to reason that there are likely to be Imperial political groupings that are smaller than the "traditional" sector or subsector size.
Let's say you have a huge region of space - like a large nebulae or something - with only 6 habitable worlds in it. The nearest Imperial Sector is hundreds of light years or years' worth of warp travel away to all but the fastest ships. These 6 worlds are only a handful of light years apart, and warp travel between them is stable and safe. Let's say they're all Imperial worlds. Wouldn't it make sense for these worlds to form an Imperial political grouping? Or for the wider Imperium to impose one upon them?
I suspect that the Imperium is packed full of isolated smaller, regional administrative groupings like this, consisting of a handful of worlds. There are quite possibly tens of thousands of such "mini-sectors." All with different, colourful names ("The Segradan League, The Sargassid Worlds, The Red Nubulaen Autonomous Administrative Zone," etc etc) After all, the idea of a "Sector" is really just a political one.
Equally, there may be "super-sectors" in the Imperial heartland (The segmentum solar) consisting of thousands of densely packed worlds all within a few light years of each other.
This is all supposition of course, but I'm all for anything which adds layers of complexity and nuance to the 40k universe. It seems to me that such small regional groupings could be an interesting way of adding colour and dense layers of political intrigue to the settting. Oh, and emphasizing the vast scale of the Imperium, too!