WordPress URL in address bar

I have done this before but can’t remember how to do it.

I’ve got an add-on domain where my installation of WP sits. I go to the domain where it points but when I click any link, the address changes.

e.g. home page: https://www.add-on-example.com
click any link: https://www.maindomain.com/add-on-example/page.html

should be: https://www.add-on-example.com/page.html

I’ve changed both URL settings in the general settings. Is it a word press thing or something at my hosts end?