I've found this on the ksh faq:
Q6. Does ksh support file name completion?
A6. Yes, it does. The default key binding is <ESC><ESC>
however, starting with the 'g' point release, <TAB> also works
for completion. Note, the vi users need to set -o viraw
in order to get <TAB> completion to work.
it looks like if you have an older release, you will need to upgrade...