Building a Shipyard

[ForzaA]

Given that Alexandria was almost certainly non-state religion, non-state culture and had no land connection to your capital, it is likely that the modified tax level was too low..

Shipyards are no longer based on ACTUAL tax income, but on BASE tax, so Alexandria is a perfect spot for a shipyard.
The harbour being grayed out was likely due to the fact that tax income was zero, and thus SHIPS could not be built. It would make sense, though, if it wasn't grayed out if you could build a shipyard.