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You would win the game for the same reason that Donna Troy returns to her owner's hand when stunned.
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502.4 Triggered effects that trigger based on an object gaining the stunned characteristic or leaving play will look back to the moment right before the object became stunned or left play. This information is used to determine if the effect existed then so that it could trigger or to determine any other information that is relevant to the trigger event. Triggered effects that trigger off of a character or equipment leaving play will ignore whether that character or equipment’s text is currently inactive when determining whether or not they should trigger.
You look to the moment before all characters leave play, at which point Mageddon's power was there---as a result, it will trigger.