Hey i found the solution... and it think the problem should be considered a bug.
What I found was it was not the ajax request that was causing the behavior, it was the anchor itself.
The weird thing is that when using jquery mobile. The anchors on the "main" page of your app/site don't exhibit the behavior, they work like they should. But any child pages do exhibit the behavior.
I tested this by loading my child pages directly, and they worked fine without dropping down the annoying loading bar for half a second. But when loaded through the main page suddenly the behavior started. This behavior is the same if the child page is a full html page or just a "page" element within the main html file.
To get around the behavior I have changed the offending anchors to "buttons" instead.