SAMSUNG Shipbuilding and Heavy Industries has completed construction of the third double-hulled tanker to go into the service of Conoco Shipping Co, a subsidiary of Conoco Inc. The vessel, named the Pioneer, is one of four double-hulled tankers which Conoco, the energy subsidiary of DuPont, will have working in the Gulf of Mexico by the end of this year. During the christening ceremonies, E.L. Oshlo, vice-president and general manager of Conoco crude oil marketing, supply and transportation, said: ''The Pioneer represents the continuing development of the double-hulled tanker fleet Conoco is working toward to provide the safest and most environmentally compatible transportation of crude oil possible.'' The Pioneer will join the Patriot and the Guardian, the first two double-hulled tankers delivered to the company last year, in the Gulf of Mexico where they will transport crude oil from Venezuela and Mexico to Conoco's largest refinery near Lake Charles, in Louisiana. Future construction of only double-hulled tankers was a major element in Conoco's nine-point environmental initiative announced in April 1990. Conoco was the first US oil company to commit to only double-hulled tanker construction.