Hi What and Luziamill230 thank you for taking the time to report this bug!
"Never remember history" only prevents Orion from keeping a record of the pages you visit, so nothing new is added to your history while you browse. It does not remove history that was already saved before you turned it on, and it doesn't clear cookies, website data or your open tabs, nor does it offer a "clear all data on quit".
If you want all your saved history wiped, use the option in Settings → Privacy → Remove History Items → "After Orion exits". It would do just that, but it's still only about history, not cookies, website data or anything else.
What kind of data would you like to see being cleared upon quitting the app?
Thank you for your help in making Orion a better browser!