Had a chat about it with a Tesla service technician because I have the same issue, living in a European border area.
Known problem, no solution according to the technician.
Every modern smartphone reconnects in a few minutes when roaming, but not the car’s LTE modem.
I personally think the LTE modem roaming level treshold is way to low, so the car tries to stick/reconnect to the last known 4G network during a very long time.
Of course this is only a EU problem, since you don’t have this in the US.
If Tesla controls the firmware of the modem, this should be fixable with a software update IMO.
But if it’s a third-party modem and firmware/hardware is not controlled by Tesla, this could be and remain an issue.
An option is connecting to the hotspot of your phone before you start driving, but it’s not very practical as permanent solution.
Especially if you have premium connectivity like I do…