My iPhone 4S Decides to Roam on its Own

My job requires that I cross the border between Kuwait & Saudi Arabia 5 days a week.
My SIM is from a carrier in Kuwait named Zain.
I have went into Settings -> Carrier, and switched "Automatic" off and selected Zain as my network.
This works fine until a couple of days ago.
I crossed the border as usual going to work and the signal was lost as expected and now I see "No Service" on the top left corner of my screen.
Around 1:30pm of that same day, while I was working on my iPhone while connected to a Wi-Fi network at work, I noticed that the phone was actually connected to a carrier in Saudi Arabia.
I double checked the carrier settings again just to be sure if the setting is bugged or for some odd reason, "Automatic" was set to on.
To my surprise, it was still off!
Why is my iPhone 4S roaming on its own? I can easily prevent such roaming charges.
I need my iPhone to be on and connected to Wi-Fi but I don't need its voice services while I'm across the border.
Anyone else facing this? Share your thoughts please.
Thanks.

Thanks Noel but I tend to disagree.
You see, I previously owned an iPhone 3GS and an iPhone 4. All worked perfectly. Upon switching off automatic selection of a carrier and only selecting my home network, those 2 phones stayed with No Service until they sniff a signal from my home network provider.
That's not the case with iPhone 4S.
My iPhone 4S today for example went out of service at about 7:45am after I crossed the border.
at about 1:30pm, it decided on its own to connect to a roaming network. It shouldn't. Because I'm selecting my carrier manually. So worst case scenario, it should at least prompt for availability of other carriers without connecting to them.
Last but not least, roaming charges in my case will be charged against my number once I receive or make a phone call or SMS. I'd like to avoid that. I did tests that clearly showed saving over $100 a month of roaming charges when I do so. Yes, our carrier is a vampire

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