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Your actual site log files could give a clue as to where your conversions are coming from. If you have installed the Google Analytics code on each page, check it out as it will tell you the paid and non-paid clicks.
From experience, if the tracking code is installed correctly, all conversions coming from Adwords will get registered to the ad and keyword that brought the click. I'd say the problem is not the tracking but your campaign and/or your landing pages.
With little info, hard to tell if you are getting too many unqualified clicks or a problem with the landing page.
You seem sure you are getting way more conversions than what Adwords tells you. In that case, check that you only have ONE "thank you for purchase" page. If you have more than one, make sure the tracking code is on all of them.
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