Neutrals definitely sailed in convoy, although they were distrusted by the skippers of belligerent ships. They would have been blacked out but still had civilian paint schemes IIRC. The "Janus" (below) was one neutral, in-convoy U-Boat victim.
As bigboywooly mentioned, neutrals in convoy are fair game. We could easily clone neutral ships and nations so that some could sail darkened and in convoy (generating positive renown) while others could sail independently with lights blazing (negative renown).
Picture courtesy of Uboat.net