Is it possible to send one wagon train round several cities, picking up, say, food at each, then delivering it to a single destination?

You could do that on the original game, but I'm not clear on whether you can on Col 2?

Yes, go to each city and specify what you want to import and export. Then click on assign trade routes on the wagon and click all the cities. However I don't think the algorithm for trade routes is very efficient so you may want to build more wagon trains and assign each one a section of a large trade route.