Sounds very odd... when system cools off, it usually contracts, sucking air into top of reservoir. Mine will collapse the radiator hose when it's cooled overnight. If you're holding pressure after its cooled down, at least you know you don't have any leaks. But its still odd. Are you sure air is escaping? Could it be getting sucked in instead? (but then why would level go up?)
Anyway, sounds like you could have a coolant passageway blocked, and coolant boils in there and creates air pockets which block flow. Maybe a good chemical flush would clear it out....
Also, I've seen where some on this forum recommend drilling a few holes (2-3 mm) at the edges of the thermostat, and when re-installing it make sure one of the holes is at top-dead-center. This lets air bubbles get past thermostat better.
You could also check the smaller-diameter hoses going to/from the reservoir to make sure they're not clogged.
Hope this helps.