I'm playing PBEM game n°450401 as the allied player vs Custine (He's completely killing me). Besides a very (too) successful invasion of England, he is also about to take Egypt. I lost Port Said but I still hold Alexandria.
But when I started my last turn of the game, my units were considered out of supply, even though Alexandria is a level 9 port. I wanted to check by starting a game against the AI: Alexandria is indeed a source of supply.

But in my critical situation:

Alexandria is no more a supply source :

Did I forget a special rule for Egypt or something?