Sadly it's just the nature of digital art.
The color calibration of every screen/device is different. You can calibrate your pc screen (I've never used a screen tablet, but maybe you can do it as well?). But that won't solve the inherent problem, because every other person will see your art on their own device.
If you ever print your art, every printer is producing different colors as well So test printing is mandatory, so that you adjust your art for the printer you'll use.
My best advice is to see how your art looks on a bunch of different screens and find a good middle ground. Hope it helps!
Edit: I forgot to add, if you have a Mac display, it has generally truer colors, so use it as reference. The same might be true for the screen tablet, but I don't know how true Xp pen's color calibration is.