I don't know of a way to disable this, and would think this "should not" be something you'd have to do. Do you mean USB internet tethering? If XD is interfering with that, it sounds like a bug to me and that you should file it at https://adobexd.uservoice.com/
The Adobe XD live preview is extremely intrusive on my Mac with an Android phone connected via USB. Everytime I plug in my phone with XD open on my Mac, a message on my phone appears saying I need to download the XD app.
This isn't much of a big deal, but where it becomes an issue is I use my phone for Android development and if XD is running while my phone is plugged-in, it interrupts commands send to the phone's recovery and also when flashing software via the phone's recovery. I always have to remember to close XD before doing any bootloader or recovery level work on my phone, otherwise the process can break.
There should be a way to disable the Live Preview if we don't want it. For example, I'm a software developer and I use XD just to extract the assets that I need and this feature has a conflict with other debug options that I need.