You're getting a common problem (well, at least common to me).
There are several threads here about out-of-round pens--- oval pens--- and there are several things that can cause it.
First thing, however, is check out Russ Fairfield's page on the "Lathe Tune Up". Great info. This, in and of itself, may solve your problem.
Several questions to ask, though, regarding this issue that have shown to be problems for me.
1) Is the live center at the tailstock getting mauled up by the mandrel?
2) Is the mandrel end-- where the live center fits in--- clogged with crud or even worse, CA?
3) Is your mandrel bent? Remove everything off of it and roll it around on something DEAD FLAT like the flat space on your lathe. If it has any sort of hop to it, replace the mandrel.
4) You are a good pen turner so I wouldn't suspect you to be pushing too hard on the pen blank, but if you DO push the pen blank with your cutting tool too much, you will push the mandrel out-of-round with the force.
There are many other things that can cause this.
I am soon ordering the Beall collet chuck to ensure the headstock is dead-center. I wish there was an equally accurate way of holding the tailstock that bit down on the mandrel like a collet.