I think there must be a bug because I played USA and I tried to occupy Monterrey, 3/4 of the Canadian territories (the ones I was bordering), the European territories that I was connected to via the white lines (I assume those are another way to border like in Risk?), and Japan, all to no avail.
That's sounds like you had an army size smaller than those provinces' defences. To occupy a province you need to recruit an army big enough. For example, if you want to occupy Monterrey as USA you need to have 50 army points, because Monterrey has 50 defence points.
Edit: Also, maybe you ran out of gold.