All Roads Lead to Rome
First off, why weren't diamonds available in the capital city? Was some die rolled to determine that, or is that another potential plot hook, as they investigate the "Why?" Or did the previous DM arbitrarily decide that, so the player is taking revenge, by "arbitrarily" doing something else? Sounds like personal problems?
Solve it out of game: It is simple,
- Just say "I am running this adventure, if you don't like it, oh well!"
- "It will take me time to write that up, please make another character to play now while we assume your character is traveling, and we'll do quick one-on-one."
- "We can do this, but you will have to sit out two weeks of play time, while the rest of the players and I keep playing. Maybe they will just decide to wait for you at the inn. Then we'll do quick one-on-one."
In some of these possibilities, you need to be to be prepared to kill characters for them to take the game seriously. They need to be aware of the real-world consequences of every decision. Make this known out of game to the players, that random encounters are random.
How can DMs effectively telegraph specific dangers in D&D?
How can I tell how powerful an NPC is without being explicitly told?
Risk of a TPK vs realistic NPCs
Each time this comes up, decide something:
Does it Matter?: Is there some reason your adventure can't wait?
Make the hook stronger: In other words, while traveling, they have numerous encounters which will pull them back--make it so they have to deal with it. The denizens of your villain have also cornered the horse trade, making travel difficult. They run into villains on the way, that steal some other items from the character. They capture one of the characters (chosen at random). Etc.
Adapt: If the PC's can afford diamonds, they probably could afford the teleport spell to be cast on them, and a scroll of teleport for the ride back. The trip takes an hour.
Play it cool: In many cases, for some adventures, location doesn't really matter. Without even hinting that this screwed you up, silently move the adventure to the new area.
Forbid: Possibly the least desirable as it stretches the imagination, but there are ancient black dragons suddenly patrolling that trade route, a hook for another adventure. Problem with this approach, is then they go to do something else, and you have to put more black dragons there.
Acquiesce: After asking around, someone does have diamonds. They had to spend a few days wasted though finding them, and the cost has increased 25%--still less then the cost of traveling to the other nation. Again, they might decide you are a push over, and try this routine again.
OK, GO!: Works only if rest of PC's want to stay also. While 2 weeks pass, have the character roll another character to use while his character is shopping.
There are many more possibilities, don't be afraid to use your imagination.
Also Keep in Mind
The Clock Keeps Ticking: The evil is on-going. When they come back, the evil villain has laid waste to the capital city, including the player's strongholds. The players lost a million gold pieces. The city is completely taken over, and the players may end up slaves, or TPK'd on return. Or just increase the villain's defenses further (as might make sense), which the players will soon discover. Now he is really going to need those spell components!