Not adjacent, but you need an unbroken chain of roads (Right of Way) between the cities. You tend to get higher earnings with foreign cities, so you were missing a fair chunk of cash! Also, any cities that the route passes through receive a small amount of income - these are the secondary trade routes you’ll see on the trade route scheme.
The trade route income you see on the city or trade screen is raw, by the way. Buildings that increase dust production will also boost these (but it’s hard to see the breakdown).
I managed to snag a science deed/reward that increases trade earnings by 50% so I was really banking on being able to make some serious dough dust from that. I might try and get another deal going soon but we’ll see how things shake out with Morgawr.
The luxury that increases trade route income is - by bug or design - even more of a boost. Unlike other trade bonuses, which each add their own percentage bonus to the raw value, Grasssilk doubles all trade route income on top of this. You can get thousands, maybe more, per turn from trade routes by the turn 120ish mark.
Of course, by then the game is often nearly over.