What are your settings in the Configuration ... Attribute Settings ...

What are your settings in the Modules ... Payment Modules ... for your PayPal Express settings of:
Set Order Status
Set the status of orders paid with this payment module to this value.
Recommended: Processing[2]

Set Unpaid Order Status
Set the status of unpaid orders made with this payment module to this value.
Recommended: Pending[1]

Set Refund Order Status
Set the status of refunded orders to this value.
Recommended: Pending[1]