This is probably a real dumb question.
Do Power Stations have to be connected by road to the City you are building ?
No, power stations need to be connected by power lines, except if there are buildings within around 3 block radius. If you don't 'underground' power lines, you need to zone something (recommended residential) press Shift (or Ctrl) and hit the adjacent road. If did correctly, you should see sidewalks and if you go the Power data sheet, you should see green block instead of blue or not highlighted.
Thanks.