There is simply no provincial unit to build.
I created the province several turns before and I have plenty of recources to build units.
Strangely there are other units shown (but in red so I can't build them) in the unit build menu which should not appear there, like ships, siege weapons, provincial units from other provinces, etc.
I also started a new single player game with Bactriana and can confirm that this issue happens there too.
I use the german version and as I have found no similar reports I suspect that this issue is related with the german version.
Slightly off-topic: In the province Hierasia I can build Bastarnae warriors (medium infantry) as a provincial unit but the unit tooltip states that this is a medium cavalry unit.
Even more off topic: I found several minor bugs in the text of the regional events where there are 2 variables added in the text.
It seems that the variables are reversed in the tooltips of those events: Example (from memory): "A wealthy citizen from 350 gold spent Rome to improve..." which absolutely makes no sense.

So the region name and the value of the benefit are reversed.