Measuring a very fine wire with 10 µm precision

Boots, me thinks you're approaching this problem from the wrong direction.

Also, copper wires are force-drawn/pulled through a die at the factory, so they're pretty much the same diameter. Being able to detect variations of 0.001mm won't do squat to what you're trying to accomplish. It's immaterial.

I would concentrate my efforts on a mechanism for consistent tight winding, and accurate inductance values. If the wire ends in the middle of the coil (to achieve the correct inductance value), then so be it. Tape the wire at that spot, then run a few inches of flying lead wires, solder to the transformer terminals (or solder to a thicker flying lead wire). The wire doesnt necessarily have to end at the lip. -- thats how commercial audio transformer makers do it.

EDIT:
The core you use for your transformer will also have variations in their permeability. Even if you got your wire diameter detector correct (which I doubt), the next core you grab may be slightly off, and the next transformer you wind will not end up exactly at the lip (to achieve the correct inductance value)... so now what? You're back to where you started. You cannot predict where the wire should end because you'd have variations in the size and permeability of your core (if you care about getting the right inductance value).