In the video game Hearts of Iron IV, it is possible to lose entire divisions of 10k men after their convoys have been intercepted by submarines, has this ever happened in reality? (Outside of the Mongols and their incidents with the hurricanes)
Troopships were typically well-protected, and having a convoy of troopships badly mauled was an unusual event. Very few troopships could carry 10,000 men, and those that did were well-protected by speed and/or escorts (RMS Queen Mary and RMS Queen Elizabeth could and did carry 15,000 troops at a time, crossing the Atlantic).
In WWII, Japan suffered badly from the loss of troopships. Japan was short of escorts, and facing a large and effective submarine force (mostly USN submarines), and also strong enemy air forces. Some individual sinkings of large Japanese troopships resulted in the deaths of about 5,000 troops and crew (e.g., the worst single Japanese troopship sinking, when Toyama Maru was sunk 29th June 1944 by USS Sturgeon, while carrying the Japanese 44th Independent Mixed Brigade, over 6,000 men, as reinforcement to Okinawa. Petrol/gasoline being carried resulted in massive fires, and about 90% of the men aboard died in the sinking.
Some Japanese convoys took heavy losses. Perhaps the most famous is the Battle of the Bismarck Sea, US and Australian air forces against a Japanese convoy. The convoy, consisting of 8 troopships and 8 destroyers taking 7,000 troops from Rabaul to Lae in New Guinea was spotted and destroyed by air attack. The first air attacks sank one transport, and damaged others. Most of the troops from the sunk transport were rescued by two destroyers, which then proceeded to Lae at high speed - the 1,200 troops aboard were the only ones from the convoy who reached Lae. Further attacks sank the remaining transports and two destroyers. About 2,700 survivors returned to Rabaul, and many other survivors of the sinkings were killed by further air attacks, or after landing on US or Australian held territory.
Less well-known, but also deadly, was the fate of the Take Ichi convoy, sailing from Shanghai to western New Guinea with 20,000 troops. Yoshida Maru, with an entire regiment, 3,000 troops, was sunk 26th April 1944 by USS Jack off Manila Bay, with no survivors. (This was a poor yield from the 19 torpedoes that were fired, but USS Jack was unable to get into effective range due to the strong escort, and fired the torpedoes from extreme range.) As the convoy was crossing the Celebes Sea, on 6th May, USS Gurnard got into a better firing position, and sank 2 troopships and 1 cargo ship, killing more than 1,000 troops (most of the troops on the sunken troopships were rescued). Due to these losses, the convoy stopped at Halmahera in the Moluccas, with the troops proceeding to Manila afterwards.
Other nations typically did not send such valuable troop convoys into harms way with so little protection. Allied convoys bringing troops to Britain across the Atlantic suffered no troopship losses (as discussed here), and Germany and the Soviet Union mostly moved troops by land. Italy was forced to use the Mediterranean to ship troops and supplies to Africa, despite lacking naval and air superiority, and suffered accordingly. Their three worst troopship losses taking troops to Africa killed about 1,00 troops per sinking, and many smaller vessels were sunk, with Italian and German troop losses in the hundreds.