LunaC - 6:59 am on May 1, 2013 (gmt 0)
I had that happen when I added a frame breaker. It broke the frame before analytics could get the referral information but of course if counted when they were refreshed to the unframed page so it looked direct to it. Could it be something like that?
edited to add:
Do you have access to the server logs? That might give a clue as well.