Mimo: Really? I'd swear that on multiple occasions I've gotten the blank or blank option! I remember being really pissed off and thinking "This is something Vitek would do, so c'mon, you're smarter than this Mimo!"
:-p
(it's true)
I don't know then, maybe you had nothing to build at the moment in any of your towns?
Or maybe it is distance related.
I tried the attached setup. Frostling outpsot has nothing to build and it offers me to build things in dwarven town.
I tried to delete it now to see if it is either layer or distance related as capital I have on that map is in the underground and half an map away but it offered me buildings there just fine.
It's only medium map so it could possibly happen if it was even farther but I don't think it would.
EDIT: I just quickly created XL map with full outpost and production resources in the lower right corner of surface and another town in the upper left corner of shadow world and still got a choice for that shadow town.