OK, the convoy thing is a red herring. The Supply bases are not requesting help from the US or UK at this point, so no sea supply.
However, you're fighting multiple things:
Lack of trucks, as in I'm amazed it's giving you trucks for supply, with the current state of your stockpile.
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Scaled Supply because you only own 37% of the state, but that may actually be a red herring in this case. Infra is 3/5 in the state, and rails are level 2, so the supply bases aren't bad, either. The supply bases are helping, as seen in the screenshot. EDIT2: Actually Infrastructure is damaged to 1/5 in the state, so that's making it worse, because innate province supply is lower.
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Supplying through deep snow, with not enough trucks is not letting stuff get to the units properly. EDIT: Added Forest terrain modifiers, too.
That's what is really hurting you, and the lack of trucks is making it worse, and/or is contributing to said shortage:
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And, also, not helping, are the ships grabbing supply. See the white lines going out into the water, and the ships drawing supply? Those are grabbing supply flow, and what is going to the ships isn't going to the troops, especially with the Deep Snow debuff slowing the flow rate of supplies, as in the previous picture.
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Please, don't shoot the messenger. I'm not here to argue about what the supply system should or should not be doing. I'm just trying to give some insight into what it *is* doing.
(As an aside, for the most part people need to forget they ever saw or heard the 15/20/25/30/35 supply cap numbers on supply bases. Those are theoretical maximums that only very rarely will any supply base actually hit.)
EDIT: I think the No Connection to the Capital is a red herring as well. The supply bases are giving supply, but it's not getting to the units very well. I suspect if you started demanding more than the bases had available, a sea supply route would show up and make that connection.