Given the following managed file:

/tmp:
  file.recurse:
    - source: salt://path/to/file
    - template: jinja

Containing any of the following import variations:

{% from 'macros/string.j2' import myFunction %}
{% from '/macros/string.j2' import myFunction %}
{% from 'salt://macros/string.j2' import myFunction %}

Running the following command will always throw TemplateNotFound:

salt-ssh \* state.highstate