I really don't know why any of you actually believe there will ever be another smartphone from Microsoft. In fact, I'll be completely shocked if there's another Windows smartphone from any reputable OEM. I've resigned myself to using my Lumia 1020 until it dies, and then I'll use my 950 until it dies. As far as decent WP devices go, what you see available now is going to be it.
Agreed, I would be very surprised if a "Phone" is ever released by MS.
But they really do need to be in the "Mobile" sized market, OK it wont be called a "Phone" and it certainly wont be a "Lumia".
With any luck as others have mentioned already, it needs to be a small pocket sized PC, with Windows 10, maybe running on ARM (Don't care what it runs on).
It needs to use folding screens, Cshell, Continuum or whatever else they throw at it to turn it from a smallish (950XL sort of sized device) into a tablet, and when plugged in it becomes a full blown PC (Just like my Surface does now).
It also needs some way of using telephony that isn't Skype.
For example my mobile number is a good one, I have had it for years, I want to carry on using it so it needs to be transferable to the new device (Or even better my MS account), I currently have unlimited calls, unlimited texts and for all practical purposes unlimited data, I want this transferable to the whatever the new device is called (But it wont be a Lumia, you can bank on that and you can forget all these 570, 670, 930, 950, 1020, 1050 derivations, no way would MS go there).
So forget Lumia, forget phone, think mini PC with telephony, if that sounds like a Surface device all well and good.