OP, I'm not 100% sure but I'm fairly certain that the data kept by them is illegal under GDPR. Please write to them, and ask that you would like to exercise your right to be forgotten, under Article 17. You:
- withdraw your consent
- believe it is no longer necessary

They should have a specific GDPR email and you can report their refusal to delete your data.
They have one month to comply, otherwise, do your duty as an EU citizen and report the shit out of them. See how they like GDPR fines.

Now I know there are allowances for them to keep your data, in cases where it is necessary (justification for retention of data) but as you are no  longer their customer, there seems to me no justification.