In reality, a sub captain would go for the merchants. I am assuming the battleships would travel at the center of the convoy and generally the most valuable ships were placed there. I read Convoy about HX-122 in 43, where the lower valued tramp-steamers and the like would be put on the outside. Therefore, it makes the probabilitylow that a torpedo would strike home on a target in the center of the convoy.
In GWX, 1939, ASW has not been fully developed in the Royal Navy yet, so you can get away with getting inside the convoy to loose off some shots at the battleship.
However, other posters are right, there are several opportunities to sink battleships, cruisers and troopships in Operation Weserabung, the German invasion of Norway.
Check out the GWX manual for Campaigns. The movements of task forces and groups will clue you in on where to intercept. This is very important as warships unencumbered by slow merchants are very fast - your window for a good intercept and a good shot are narrow. Good hunting
