Suddenly one of my ships got stuck on the way back from Europe (It can't move out of the "yellow" area), and the other ship I had on the way from Europe just did a U-turn and took the cargo I had for the new world with it back to Europe.

Reloding or restarting the game does not help. The 2 ships do the same thing over and over again. Get stuck and return to Europe when not ordered to.

Anyone got any tips?

Got the same problem once with a caravel bringing tools to the New World. It went on for about 40 turns, and suddenly stopped happening. Simply a bug.

This can happen if you send a combined stack of ships to Europe by issuing the order for them at the same time. The same bug can happen if you send a stack of colonists to an indian village for training. I always handle my units one by one for these special events.