Have you checked if the foreign key field exists in your table? Did you include a foeiegn key mapping on the file jbosscmp-jdbc.xml?
You can find answers about CMP 2.0 from the US$5.00 document.
I found the problem: JBoss had not altered the table adding the foreign key field.
Undeploying the EJBs, deleteing tables and deploying again it worked!
Maybe that JBoss 3.0 Alpha does not alter tables to add relation foreign keys?
PS: I purchased the CMP manual (for US$10.00), it is interesting but it not solved my problem. Anyway I am proud to contribute!