I have a very simple sweep that I'm making.  It's a handrail for a set of curved stairs.  The Path is a 3D Sketch which has been Converted from a 'Master Sketch' type part.  The Profile is a circle that is built on a plane that is perpendicular to the Path.

As you can see in the screenshot, I get an odd shape that looks like a snake eating a mouse.

The bulge also shows up when I make a drawing of this part, so I am pretty sure it is not merely a display artifact.

I have tried other Sweep options such as Twist Along Path, etc. and these just make the shape even more gimpy.