Oh yes, now I remember that I tried the same thing with the Parthians. I abandoned the northern-most city, assembled my whole cav army along with the faction leader, his son and another general, and rushed to a coastal city which belonged to Egypt, that I can't recall the name. We captured the city, made 2 biremes and set sail.

Unfortunately for me, this time the egyptians weakened the navy, and an attack of pirates near spain put end to my adventure