Does it occur when turning non cross cut pen blank?... I noticed you turn a cross-cut blank and almost all cross-cut pens I turn are slightly oval shape...it seems some areas of the cross cut blanks are harder and others softer, and during sanding the pressure you do over the blank cause the oval shape pen...
First make sure that when you mill the ends of your blanks that it is square. If you are off by a couple of degrees you can be out of round when turning. Next check and make sure the tapers for your dead and live centers is clean, both male and female side. Then take a good look at the center points and make sure they are clean and smooth. Last would be the bushings. Make sure they are clean. Also it looks like you are using standard bushings. The outer hole is not cut at 60 degrees if it is. I highly recommend JohnyCNCs bushings with TBC method.