That's exactly what has happened. My main game is in english, the DLCs audio is in german (I'm from Austria). Pretty much ruins the whole experience. Unfortunately you have no choice when you've only got a german/austrian account - it'll automatically download the german DLC. While subtitles and the whole game are in english you get the german audio files for Dawnguard ....
I'd hope this doesn't happen on Steam, though it's certainly possible it could be the same.
Steam will let you select the language you want to download a game in, as long as it's not region-locked due to censorship (Germany!

). I've never tried buying a DLC after getting the base game in english though.
Does Xbox allow you to pick the language a game is in? If not, then Steam (PC) users might have more luck, but if Xbox lets you pick the language aswell, then this might be a general issue across all platforms...