Building a road to a faraway city state - Are they kidding?
Solution 1:
In general it isn't worth it, but if you build a city with a harbor nearby, it can be done without a ridiculous expense. Since a harbor extends your trade network the same as a road would, you would then just build a road from the harbor city to the city state.
Solution 2:
As long as you're not hostile, I believe you can make a road through that civilization. Just get an open border treaty. I'm not sure who pays for the roads after they're built though. That I'm still trying to figure out.