"Je sais pas dont je parle" is not possible, because "dont" is a relative pronoun referring to a noun that is a complement of the preceding proposition, and here you have omitted it. Moreover, "pas" is not really a negation: it has to be used with "ne". You should say:
"Je ne sais pas de quoi je parle"
"Je ne connais pas ce dont je parle"
"Je sais pas ce que j'en parle" is wrong as well
Here, you could say:
"Je ne sais pas ce que j'en dis" (I don't know what I say about it)
This is correct, although the meaning is rather queer. You cannot say "ce que j'en parle" because parler is not a transitive verb, meanwhile "dire" is transitive..
Bad luck once more,
"Je sais pas auquel je pense"
is wrong also. "auquel" like "dont" refers to a complement of the preceding proposition, but with the sens of "to that" meanwhile "dont" means "of that". But in your sentence, you have no referring complement, so you should say:
"Je ne sais pas à quoi je pense".
"Je sais pas ce que j'y pense"
is wrong, although the motto of the English kings is "honi soit qui mal y pense", but this is old French from the middle-age. Here, you cannot say "y" be cause "y" means "to that", which has no sense here, where you mean "about that", so you must use "en". The correct form would be:
"Je ne sais pas ce que j'en pense".