The only time I ever saw a battleship in a convoy was when I saw the Malaya in one in the North Atlantic in Aces of the Deep (the original game, not the SHIII mod pack). Sank her too, and got away.
But that was a long, long time ago.
In stock SHIII, I can't remember ever seeing a warship larger than a destroyer in a convoy. But I haven't played that much lately...:hmm: