You can use the existing error bar infrastructure to place coordinates at the end points of the major and minor axes of the error ellipses, and then draw the ellipse using a simplified version of Percusse's answer to How to fit ellipse into another object - using intersections and calc library.
Here's an error ellipse style that does this. You can change the style of the error ellipse using the key error ellipse style. To get a faded filling, you could set error ellipse style={inner color=red, outer color=white}.

\documentclass[border=5mm]{standalone}
\usepackage{pgfplots, filecontents}
\usetikzlibrary{calc}
\pgfplotsset{compat=1.5.1}
\newcounter{mark}
\pgfplotsset{
every error ellipse/.style=draw,
error ellipse style/.style={
every error ellipse/.style={#1}
},
error ellipse/.style={
error bars/error mark options={},
/pgfplots/error bars/draw error bar/.code 2 args={%
\stepcounter{mark}
\coordinate [inner sep=0pt] (errormarknode-\themark) at ##2 {};
\ifnum\themark=4
\path [/pgfplots/every error ellipse] let
\p1=(errormarknode-1),
\p2=(errormarknode-2),
\p3=(errormarknode-3),
\p4=(errormarknode-4)
in
##1 ellipse [x radius=(\x2-\x1)/2, y radius=(\y4-\y3)/2]
;
\setcounter{mark}{0}
\fi
}
}
}
\begin{filecontents}{data.dat}
x y errorx errory
1 1 0.1 0.2
3 2 1 0.3
5 2 1 1
\end{filecontents}
\begin{document}
\begin{tikzpicture}
\begin{axis}[
grid=both,
axis equal % So equal x and y errors result in circles
]
\addplot [
mark=*, only marks,
error ellipse,
error bars/.cd,
x dir=both, y dir=both,
x explicit, y explicit
] table [
x error=errorx, y error=errory
] {data.dat};
\end{axis}
\end{tikzpicture}
\end{document}