No path means there is no connected road (or rail for trains/trams) between the current position and the next station on the list of the line the bus/tram/train is running on.
When you just created a new line and assigned new vehicles to it, the vehicles look for a path to the closest station on the line you attributed the vehicle to. A common problem is that you by mistake selected the wrong line (eg of another city). Or, you did not connect a piece of road (or rail) between the depot and the closest station/stop on that line.