Use pcregrep, a Perl Compatible Regular Expressions version of grep which supports a multiline mode using -M flag that can be used to match (or not match) if the last line had a newline:
pcregrep -LMr '\n\Z' .
In the above example we are saying to search recursively (-r) in current directory (.) listing files that don’t match (-L) our multiline (-M) regex that looks for a newline at the end of a file ('\n\Z')
Changing -L to -l would list the files that do have newlines in them.
pcregrep can be installed on MacOS with the homebrew pcre package: brew install pcre