How to stop iphone from disconnecting to WIFI everytime I lock screen?

that sounds like a weird bug.  try shutting your iphone down and turning it on and see if that helps.  

reset your internet router by just unplugging it from the outlet for 30 seconds to reset it.

then if that doesn't work, forget the connection on your iphone and re connect to it.  

otherwise, you may need to get it checked out by apple support or even your carrier support. 

You have to throw holy water on it.