GNU Radio - PSK Mod block - unexpected constellation diagram
What you are seeing is the transitions from one constellation point to another.  In order to reduce the signal bandwidth, the baseband signal is low-pass filtered.  This causes the transitions to not be instantaneous (i.e. the I and Q are not square waves), so they take some time.  You are simply seeing those transitions.  The low-pass filtering also causes the overshoot that you see at the constellation points.



Just to see, I tried putting this into R. This is not going to get quite the same result because I am not sure of the parameters GNURadio uses, but it illustrates Jim's point.

As you increase the samples per symbol, the number of "transition" samples increases, making the edges of the constellation clearer.