I would actually go for Greece and Illyria first. Supply lines will be a lot shorter, and if you have a bit of money to spare you can invest in mines. In Pella, Dalmation and Segestica they should net you vast sums of money every turn. You could also go for just Epeiros, and see if the Makedones break the alliance or try a "surprise" attack. As an added bonus, distance to capital penalties will be a lot smaller too.
Egypt of itself is quite wealthy, but you will have supply issues, as it will take you some time to get your military there. Furthermore population-induced / distance to capital induced can be a real pain, forcing you to send ten units, just to appease the local population a bit. That can quickly eat into your income, and thus empty the covers.
Bookmarks