Thanks Andrew, I checked this out and it uses the 'B2' Illumina annotation, but any 'unannotated' CpGs are designated as 'Open_Sea'. Strange that Illumina just leave the field blank.
For anyone stumbling across this looking for help, I modified this tutorial, the script for which is here (NB this is for hg19).
Ultimately, I used the Illumina B4 annotation, with the extra 977 probes that were removed for chips starting after 201172200001, you can find info on that here.