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Are you only allowed to create a supply convoy from a province that connects (by land) to your capital? I've invaded the United States and none of it's coastal provinces are available to supply from. Is there some other way to set up such a convoy?
I don't believe so. With the way the convoy system works there isn't much need to do that. They arrive instantly so travel time isn't an issue. The only real reason to do so is to avoid enemy subs, but unfortunately it can't be done.
Try checking if you have automatic convoy on. The Ai sometimes screws that up. If that is the case turn off Auto Convoy and delete the convoys. Now wait until the next day (in game time of course). then you should be able to make convoys. Otherwise I dont know what the problem is.