Merchant of Venice can't buy a City State

The game was set to One City Challenge, but I had not set it to One City Challenge. I know because I restarted another game being careful to do no special options (just Venice), but it still ran a One City Challenge Game.

A previous player had gone into a sub-sub menu (Advanced Setup >> Advanced Game Options) in Set Up Game, and set to One City Challenge. When I did subsequent games with Set Up Game, it kept all of the previous settings, including all the 'hidden' Advanced Game Options.

It seems like a fairly major option to keep persistent in a sub-sub menu! I would consider this a UI bug.