Many watches have limitations in how many and what sports that can be added to them. The solution that I use is to have a generic activity called "Other GPS" (I also have an activity called "Other indoor"). After the activity I just change to whatever activity it really was.
Yes, as e7andy wrote, on most watches, even if you do not find the needed sport in the selection of available activity types, you can either add a "custom" activity, or simply use a similar existing activity (i.e. running for the cross country skiing) and then chaning it to that type in Garmin Connect.
In the user manual of Forerunner 235, I did not find the list of available sports, and also not the exact way how to add a new sport, just the following section mentions it briefly:
On many Garmin watches, you can scroll down through the list of the preselected activity types to the bottom, and there is the option +Add for adding another sport from a list, or adding a custom one.
