I just came across this same problem - the computer has decided it's smarter then me and decided to sortie forth some fuel transports.
I have never used:
a) Computer control in an area.
- The only computer control in my game are subs and continuous supply TF's, which are primarily a couple of ships to small bases.
b) The autoconvoy system.
- I leave lots of ships in SF but none of them in the convoy system.
Here's the deal, it's now the 27th of Jan, 1943.
I hold the PI, and am evacutating most of the stuff out of it to the Chinese mainland and a recaptured Hong Kong.
I was browsing around looking for my Marcus Island assault TF and here I see three other TF's, all of similar composition, that I never made heading full tilt to the PI WITHOUT any air cover - one of which is just about to pass within 600 miles of the home islands...
Ok it's not a trip I haven't made before, but usually there's at least one CV escorting a 80 ship supply TF and manually ordered to move around further south...
Anyway these are the ships in each TF:
4 ASW ships (DD, SC, MSW)
Possibly one or two transports (AK)
At least one fuel transport (AO, TK), sometimes two.
All happily loaded up and marching across the central pacific.
Their homebase is San Francisco and judging by their location they were dispatched quite some time ago, and looking back across the Central Pacific I can see one more that has just departed SF.
The only abnormal thing that happened in the past couple of months was the AI attempting to invade Legaspi with 100 men (well ok, their transports all sank whilst they unloaded).
I notice that the load/unload info area (that usually says idle) says 'refuel at X' where X is manila, legaspi, appari, etc.
There is no fuel shortage, 90k at Manila, 111k at Hong Kong, 187k at Canton.
So, what's happening, has the AI decided that I'm wailing on it too much and it must suicide some of the ships I'm not currently using or is the system just gone wacko on me?
I looked back to a save from the 23rd November 1942 and there's no anomalous TF's at sea (this was the day before I recaptured Hong Kong).
The two months since then have been categorised by me:
- Moving some chinese units around to put supply in spots for repairs to captured stuff, and giving them a rest.
- Advancing on Tavoy, taking it, and then very slowly surrounding the units that retreated (which has just finished this turn, 1943).
- Moving an 82 ship mega-supply TF along with Lexington, which was undergoing repairs when the other 5 CV's I have left to escort the previous 62 ship supply TF I sent (and which is still there, shuttling stuff from PI -> Hong Kong/Canton).
The AI for the most part has just wandered around putting transports in places I can sink with Beufort V-IXs and the occasional swordfish, with the notable exception of landing at Legaspi.
The two saves are available if they'd help with finding the problem.
EDIT: Ok it's still doing it, that's it, I'm taking away all its toys.
*Empties SF docks*
EDIT #2: This thing is possessed!
I form a transport TF with all the transports to move them to LA and next turn the TF is disbanded and, one time, all the ships involved had been assigned to the autoconvoy system!
Even happened when I used an escort mission

Didn't care that I'd moved out all the escorts either, nope, a TF of 1 or 2AK's was being ordered to sail across the pacific like lemmings... and each turn I'd redirect them to LA instead.
Anyway some crazy Japanese unit commander decided to land on Legaspi again and the instant they took it the whole crazy convoy thing stopped!
Marched one of the USA Div's down and threw the fools out, and the system hasn't startup up again (though right now it has 0 transports to play with, since I moved them all when it stopped).
Double checked all my settings, no autoconvoy stuff set to yes, went into the convoy screen and clicked "Remove all ships" about a dozen times, checked that the control zones were still firmly in human control - so yeah, bug in the system...
- Deathifier