Creating own route for troops

You can only demand lands YOU have captured and have a core or claim on from nations the war leader is allowed to negotiate for, in many cases that will mean only the war leader but I'm going to guess Russia IS the opposing war leader in this case. If Russia is the war leader, is Neva a Russian province? If not, do they have permission to negotiate for the state Neva belongs too?

Is the province under your control? I.e have you successfully seiged it or is it under the control of an independent ally?

If it wasn't a coalition war and you were fighting a standard alliance then you'd be able to negotiate the annexation of provinces you don't have a claim on (As long as you were in control of said provinces), you'd also be able to negotiate separate peace deals with junior members. You just need to be wary of your Aggressive expansion score.

I think a very important thing to keep in mind in this situation is that even though these Indian nations may have westernised, their troops will still be vastly inferior to yours as westernising does not give them western units. I have westernised as Ottomans and Russia and have always been stuck with the same troop types I would normally have had. Seems safe to assume the same restriction is valid for AI nations.

If you've been playing this game with a specific goal in mind, I see no reason at all to give up on it. Just create the claims you need and take them out. If the number of provinces and the attached cost in peace settlements threatens you, just develop the "Flexible Negotiations" Idea combined with "State Propaganda" to allow taking massive amounts of territories per war without having the whole world gang up on you.

As for the AI question: there is no way to prevent a non-western nation bordering on a western one that is far more advanced from westernising. You can give them a truly hard time DURING the process though. Having gone through westernisation a couple times myself I can only assume that an AI nation going through that process is also hugely vulnerable.