I have one room that is always hot, thermostat is turned down, circulation pump is not running. No clue what to look for.
bleed the radiator in the cold room, probably thats all that is required, especially if the thermostat is in the hot room, this would stop the pump running.
Depends on a number of things. For example if its a flat something else could be the heat source, such as your neighbours. Need to determine the heat source. The system could be running on gravity. Is the boiler on Sure the pump is off Is it the first room on the heating system. Just a few to think about
Do you have zone heating? If so you probably have a faulty zone valve stuck open or possibly manually open. Hot water rises in a system and will heat that zone even if the circulator is off because the zone is being heated by gravity. Is the base board or radiator hot or even warm when the system is off? Even with the thermostat off the furnace will maintain hot water in the system bacause of the aquastat control which is independant form other controls. Is this the closest room to the furnace? Is the thermostat centrally located. If it is too far away and this is the first room to heat up the thermostat won't turn off until the heat in the room that it's located in tells it.
Typically with this type of installation where you have a circulator for each zone, you also have a flow control valve for each zone. The flow control valve is a weighted check valve usually installed on the supply line coming off the boiler. If the room in question is the first room on this loop then my suspicions is the flow valve is stock open. Running the circulator and (lightly) tapping on the side of the valve might break it free. I wound also try running the valve to the manual open position. Turn the lever on the top till the stem rises up. Repeat tapping with pump running and then put valve in normal operating condition, valve stem down. If still no luck you will need to replace the valve. With over thirty years experience in the HVAC industry I have only ever encountered a few flow valves that need to be replaced for sticking. Most times you can break them loose. Just a little side note. If you ever have a circulating pump fail. You can place the valve in the manual open position and will get some heat on gravity. I suspect that is what is happening with this room now. One other condition I have run across that can cause that is boiler temp settings to high. If the boiler temp setting is high and the system pressure low you can create steam. Usually you would hear occasional banging sounds (water hammer) if this was the case. Good luck.
Sounds like a faulty thermostat replace and see if the problem fixed but when in doubt call a professional.