My phone IS my wifi through moble hotspot. I am unable to find myself as a wifi option when the roku app instructs me to connect to a wifi network to continue to pair my tv to devices in the app for the app remote. If there is no way to do this, i suggest roku update this feature somehow.
That's not a Roku thing. That's a phone thing. If the phone is connected to cellular, it's not on a WiFi network. And the hotspot to which the Roku is connected is a separate WiFi (hotspot) network. In order for the phone to connect to both at the same time, that's something the phone would need to implement. And probably needing new hardware inside to make it happen.
DBDukes
Roku Community Streaming Expert
Note: I am not a Roku employee.
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Expanding on @DBDukes' reply ...
Your phone can operate either as a Wifi hotspot, or as a Wifi client device, but not both. So when using the phone as a hotspot, you will need a separate means of controlling your Roku. Either: