This is a very common restriction on many phones. If you can change it or not depends on many things but it will come down to who makes and provides the phone and OS to you.
Still the reason it will work that way as default is almost all current devices that have bluetooth also have wifi. They use the same chip to provide both. This means most people would just directly connect via wifi directly rather than trying to turn their phone into a wifi adapter. So the vendor assumes if you connect via bluetooth tether you intend to use mobile broadband.
You obviously have a different requirement than the most common user....and you are now at the mercy of the phone vendor if they decide they care enough about your application to offer...