ETA: With no merchant in place the money forwards along. It seems like dropping a guy in the Gulf of Aden flips Zanzibar from "forward the money" to "send trade power backwards" resulting in the money being stuck. This seems really stupid if there's no way to work around it.
Could you phrase this differently? From the way I'm reading it [no merchant in either Aden or Zanzibar], I am not getting the behaviour you describe.
Do you have any provinces in the South Africa trade node?