There are approximately twenty supervolcanoes around the world, so I wouldn't worry to much. There is an almost supervulcano in Italy that is also much closer to where power is needed [0].
Remoteness is not that much of a problem though: (ultra) high-voltage direct-current ("(U)HVDC") power lines have losses in the order of 3% per 1000km (that's 620mi) which is very acceptable. China has power lines that move the power equivalent of several nuclear power plants over thousands of kilometers for example.
[0] https://en.wikipedia.org/wiki/Phlegraean_Fields
[1] https://en.wikipedia.org/wiki/High-voltage_direct_current
And the Mediterranean can provide a lot of water for cooling at the same time the extra heat can easily be used for desalination.
Edit, as reply to child comment: here is the NASA report that concludes that it is possible to cool supervolcanoes:
https://scienceandtechnology.jpl.nasa.gov/sites/default/file...
Multiply any activity by a non trivial fraction of humanity and you get non trivial side effects.
The majority of generating losses (about 60% of input thermal energy) is due to Carnot efficiency losses, not transmission inefficiencies. There's also some loss in transformers (ramping voltages up or down), and rectifiers (converting AC to DC and vice versa).
But the biggest losses are in going from thermal to mechanical energy itself.
Keep in mind that the same general region is a major coal-producing zone presently, and much of that coal is burned locally for generation: it's cheaper to move the electricity than the coal used to generate it.
This also means that a substantial amount of the transmission infrastructure is already in place.
We don't need to make a mess in Yellowstone, but 'massive energy loss by resistance' is just wrong.