(Edit: save and screenshot attached.) I captured two cities from Norway, each had one source of whales hooked up. I wanted to trade one away, but no whales showed up on the trade screen. I thought maybe it was because I hasn't researched sailing. So I researched it (1 turn), still no whales on the trade screen. I then checked the resources screen, and it shows I have two sources of whales, but no amenities from them. See attached screenshot. Possibly relevant considerations: I captured quarried marble as well, and it shows up providing the expected 4 amenities. I have no other source of marble. When I captured Nidaros, Norway's last city, Harold appeared to complain about me settling too close; I never saw his defeat screen. But the capital captured notification showed up on the right sidebar, and Norway disappeared, as would be expected. When I discovered the missing amenities, I completely exited the game and reloaded, nothing changed. I've played about 10 more turns and still no amenities from my captured whales.