Water ski is not an existing activity in Garmin Connect. Wakeboarding exists and should be about the same.
The watches only support a limited number of activity types and if your watch doesn't support a type you can't add it. In many watches you can create a custom activity from one of the existing types in the watch.
Then use that custom type or another type to record your activity. Afterwards in Garmin Connect you can edit the type to what ever you like. In this case probably change type to Wakeboarding and name the activity Water ski.
There is also the option to use apps from Connect IQ that can log your activity as the correct type directly and log some extra data.
