Are you trying to upgrade caravels to privateers? Because they upgrade to iron clads. Was trying the same in my recent game
Gallasses -> Frigates : Must have Iron
Frigates -> Battleships: Must have Oil (this also frees up an Iron)
Caravel -> Ironclad: Must have Coal
The only upgrades (excluding UUs) not needing resources are:
Triembe -> Caravel
Ironclad -> Destroyer (frees up a Coal)
Privater -> Destroyer
In addition, the unit must be within your territory and you must have gold, (that Privater -> Destroyer upgrade requires a lot)