How can I disable mobile data connectivity on my Sanyo Zio?
"Data Roaming" just refers to using data when connected to a foreign network (i.e. not your providers "home network").

There should be another option available for "mobile network" or "mobile data" (the phrasing may differ between devices), as the following screenshot shows:



Look out for the red frame at the end. If you find something similar, remove the checkmark. If not, simply remove it everywhere where it sound similar. Remember which ones you removed, then enable them again one by one until you find the "evil doer".