Can’t add clock to world clock widget in El Capitan
The solution is you need to click the (i) ("Info") button in the upper right of the widget before you click on the "Add" button.

If not an explicit bug, this is certainly a major usability issue, but only is an issue when adding the first clock (otherwise the "Add" button doesn't show up until you press Info). I had run into this as well and couldn't figure it out for months. Finally poked around at it more just now and finally figured it out.