There's a North African province, the first one west of Tunis I think, that seems to be a magnet for attacks by sea from Italy and Iberia, and has little economic potential ad a low growth rate. I'd rate it second most worthless in its region after the one Tristan mentioned, Ajaccio, which is attacked by even more factions.
Inverness has also been pretty worthless in my games, unless I'm playing Scotland and turtling (in which case it's useful until I conquer my first other castle). It has a low growth rate and doesn't make much money even if converted to a city, and is in a pretty poor position to supply troops to anywhere. I suppose the only good thing about it is that noone lands troops there.
Some of the crappier far eastern steppe settlements would make such a list as well. They may not be targets for lots of AI attacks, but they make up for that by not only being worthless but taking so long to get to. Every turn an army is moving towards one is a turn's wasted upkeep, and the payoff for getting them is extremely small. I suppose at least they're good places to bleed the Mongols before they reach your more valuable settlements.
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