Welcome to Brass AKA “I’m sorry, you can’t do that: the board game”
A link tile has to connect to a location that is part of your network - so you can’t place a canal as your first action.
However:
Building If You Have No Tiles on the Board
If you have no Industry or Link tiles on the board, you may also (as an action) discard an Industry card to build the matching Industry tile in any location with an undeveloped space displaying that industry’s icon.
That should give you a few more options!