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Currently, when we try to migrate a question but the asking user is blocked from asking questions on the target site, the system closes the question anyway. It always picks the blanket "this is offtopic, see [faq]" message.
This may not be the most appropriate one, though; we have custom offtopic close reasons now, after all. Please take us back to the closing dialog if the user is blocked, and let us choose another close reason.
This should never be necessary. You should only ever be migrating a question that is a good, on-topic question for the other site. That means none of the other close reasons should be able to be applied to it.
If one of the other close reasons does apply to it, then you shouldn't be voting to migrate it. Just vote to close the question for that reason and, if you feel like being helpful, direct them to the other site where they could re-post the question after they've fixed the issues with it (which probably wouldn't help much for a user that's question blocked there). There's nothing wrong with re-posting a new, better question to another site if it was off-topic for one, and there's no reason that the very original question needs to be fixed then migrated or migrated then fixed. Migration is not an absolute requirement in the process.
The off-topic reason is automatically chosen because by migrating the question you are saying that the question is off-topic for our site. If the migration gets blocked, the question should still be off-topic.
I see where you're coming from. It always bugs me when circumstances change in one way or another, and a close reason (user- or system-placed) is no longer (or never was) the best or most relevant one.
But I fear I agree with other people. This is such an edge-case, at best, and probably should never even happen, that I don't think we need first class support in the Stack Exchange engine for doing it.
I would, however, support a modification to this system, wherein the question isn't closed automatically, and we just get an alert saying we can't migrate there. Granted, admittedly, I've never had this happen, so I'm not sure how much of a priority it needs to be. Typically, I suspect, users who've received question bans probably don't ask awesome questions that are deserving of migration. But of course, yes, some users improve, so I do understand the cases when you'd want to do this.
To add onto that, though, I think the best thing you can do is write a comment. I tend to write a lot of comments to people in my day-to-day moderating routines, and I think this is a good time, if you feel strongly, to do it. The only real difference between a close reason and a comment comes in analytics--analytics that we currently don't have access to. And again, this shouldn't be happening enough to cause any bad data down the road.
But if you're worried about teaching users how to use the site (which I like to think most of us, particularly on smaller sites, are), sometimes I find it appropriate to actually copy a custom close reason verbatim into a comment, which works. More often, I write something myself that goes over the key points. My decision to not leave a comment, copy a close reason, or write my own, would generally just be a subjective call on whether I think the user is actually listening and looking to improve. It's also up to you based on their involvement whether you want to publicly announce their question ban in that comment. I'd probably default against it, unless the user was being very troublesome or was clearly trying to avoid that very ban by posting on my site.
Of course, on the subject of whether they're willing to improve, sometimes leaving a comment and just deleting the post is actually the best way to go. They probably won't be learning anything new from it, particularly if they were using your site as a means to avoid a question-ban on another site.
Ultimately, I think commenting is the best work-around for this. There's no need to alter the closing system for such an edge-case, when we already have the ability to speak with users and provide criticisms on their posts.
