Transmission electron microscopy has been used to investigate the core structure of threading dislocations in heavily Mg-doped (1020 cm-3) Al0.03Ga0.97N films grown on (0001) sapphire by metal-organic chemical vapour deposition. Evidence is presented that Mg segregates to edge and mixed dislocations, and that these dislocations often have open cores with diameters in the range 1-5nm. The mechanism of hollow core formation and the role of Mg are discussed.