It is wise to know where your cannabis comes from. Intoxicated by bullish demand forecasts, pot investors aren’t paying nearly enough attention to supply.

U.S. states currently decide whether to legalize cannabis within their own borders, even though the drug remains illegal at the federal level. It is a misnomer to speak of a single U.S. pot industry, considering the patchwork of self-contained cannabis economies across the country.

Pot...