Postgres 9.4.1 on Ubuntu 14.04.2 LTS fails to install properly
Not an elegant solution but after installing the package using apt-get (which fails creating the cluster but installs PostgreSQL), I switched to the postgres user and created the database using initdb. Then back to root, I created the cluster using the pg_createcluster command.

This moved the configurations to /etc/postgres/9.4/main and set it all up.