It sounds like you’re dealing with “Connect On Demand” in your VPN settings, which is a feature that keeps your iOS device connected to the VPN network and automatically reconnects you when you regain internet access should you ever loose it.
Connect On Demand can be accessed through Settings → VPN → click the ‘I’ icon, and disable the toggle at the bottom of the page that cays “Connect On Demand”.
While this is toggled off, your iPhone should no longer attempt to connect to the VPN even when you’ve tried to disconnect.
There could also be a setting in the ExpressVPN app called something along the lines of “Automatically reconnect,” which you might also try toggling off.
I hope that helped you 🙂