If you visit the relic of Saint Dionysios in his church in Zakynthos, you will see the same thing; he was not buried with a mitre, but he is wearing the epanokalimavkion.
As to why this is so, we have no historic details, however, the fathers who care for the relic of the Saint have tried over the centuries to remove the kalimavkion and replace it with a mitre, but they were always unable to remove it.
This sign was seen as a miracle by the fathers, and they never attempted to remove the kalimavkion again. They therefore put the epanokalimavkion back on him, apologized, and left him in peace, according to his will.
Saint Dionysios, by this miracle, wants to show that he was to be primarily remembered as a monk with a monastic phronema, and not as a bishop which he served as for only a short time in Aegina.