I'm not sure I buy Felipe Voloch's answer, since there are many choices for his modular form; however, there is a natural modular form cutting out the supersingular locus. This is something special about elliptic curves; in general (e.g. for surfaces) there is not a known scheme structure on the supersingular locus, at least to my knowledge.
Let $X=X(N)$ be a modular curve with $N$ prime to the characteristic $p$, and let $\pi: E\to X$ be the universal curve. Then there is a natural map of line bundles $$f: R^1\pi_*F^*\mathcal{O}_E\to R^1\pi_*\mathcal{O}_E$$ where $F$ is Frobenius. By cohomology and base change, the supersingular locus is exactly where this map vanishes (that is, an elliptic curve is supersingular if Frobenius acting on $H^1(\mathcal{O})$ is $0$). Now $\mathcal{O}_E\simeq T_{E/X}$ (slightly non-canonically) using the group structure on $E$, so $R^1\pi_*\mathcal{O}_E$ is $T_X$ (using the moduli description of $X$; $H^1(T_E)$ classifies deformations of $E$). Similarly $$R^1\pi_*F^*\mathcal{O}_E=F^*R^1\pi_*\mathcal{O}_E=T_X^{\otimes p}.$$ So we may view $f$ as a map $$f: T^{\otimes p}_X\to T_X,$$ or in other words a section to $\omega_X^{p-1}$, also known as a modular form of weight $2p-2$.
Hopefully I got that all right; if not, perhaps an expert can correct me.