Anga's (near Windhelm?) and Mixwater (in Eastmarch) I think both have lumber for housing. I think even the mill in Riverwood will sell you lumber. The Orc at the Solitude Mill is the best as he uses very short responses so getting a lot of lumber at once does not have a lot of spoken dialogue to deal with
I've never gone off of the beaten path for that first "buy lumber" quest, so I do not know if that needs to be accomplished first or not
You might just be talking to the wrong person since it's not always intuitive. At Riverwood, you need to talk to Hod instead of Gerdur even though Gerdur is supposed to be the owner and does most of the work.