The AI needs to have a line of ships from his port to yours for you to receive imports. The AI is very slow and not too bright when it comes to setting up a trade route. There are no overland trade routes. You make much more on taxes collected from what you export than from what you collect from imports, so don't worry too much about it. Get your set up and expand it, via your ships, to every port you can and the money will really flow in. In my current Danish campaign, I had a trade income of over 20,000 florins per year.