Unfortunately, as mentioned in the post that @Steph shared a few days ago (and clarified in the posts referenced within it), this is precisely what happens if Windows runs Joplin.exe rather than JoplinPortable.exe (which, for those unfamiliar, is an app that "simply" extracts the application files, including Joplin.exe, into a temporary folder, and then runs Joplin.exe).
I believe this behaviour (running Joplin.exe rather than JoplinPortable.exe) is to be expected (it also happens with applications released by PortableApps). That is why, among other reasons, with other people we are suggesting to develop a "truly" portable version of Joplin.
Perhaps, the approach suggested in Tentative procedure to make Joplin Portable truly portable on Windows could help with this issue, but I have never tested the procedure being discussed in this thread, so I cannot be sure of that.