I think you would have to contact your operator, most phones have been dumbed down and don't allow a lot of network setting. (the operators usually remove that function) The operator can CERTAINLY remove the ability to roam from your account. (it will reject the billing requested from the roaming partner)
You could try to mess with the engineering menu, for most LGs it is accessed by typing 277634#*# -- there may be an option in there for you.
If you set the frequency manually to either US or EU it will kill roaming in the other area. (this also kills you battery as the phone stays in search mode )