This can be a little confusing. If you look in the tooltip when you hover over Pegasae, the last number is 2/4. That means you've used two trade nodes, and you have two left. So why can't you create a new supply line?

Well, if you look closely at the city, you'll see that it has two markets on the west side, and two places to build docks on the east side. This means that only two of your four trade nodes are good for overland trade, and you've already used both of them up.

Luckily, Pherae has plenty of supply nodes; just use those instead.

Don't worry; there's some pretty big changes to the supply system in Rome.