I got this to work. It took several tries and I kind of discovered the solution by accident.
Screenshot: http://cl.ly/image/2u1F3U1c0y0K
First, I placed the ferry terminal. I had the curved avenue already in place. Second, I placed the road marked as 2 in the screenshot, going in the direction of the arrow. Third, I placed the road marked as 3, starting at the end of road 2. I dragged it to intersect the avenue, and before I let go, I moved it around until it displayed an intersection with the ferry road. It took a few tries, but at least I only placed the ferry about 3 times before I found this solution.
I hope this helps someone else.