Here are a few things you can try to fix this issue:
First, make sure you're viewing the podcast from within the specific show's page rather than from Up Next or the Library. Go to the Podcasts tab, find the specific show, and tap on it to open its episode list. Then select the episode you want and start playing from there. Sometimes the app's Up Next queue can cause it to jump between different shows.
Second, check your Up Next queue. Swipe down from the top of the Now Playing screen to see what's queued up. If there are episodes from other podcasts in the queue, they may play after the current episode finishes. You can clear the queue by tapping the three dots and selecting Clear or by removing individual items.
Third, verify the playback settings for that specific podcast. Go to the show's page, tap the three dots, and select Settings. Make sure the order is set correctly (Oldest to Newest or Newest to Oldest) and that Autoplay is set to play episodes from that show only, not across all podcasts.
Fourth, try closing and reopening the Podcasts app. Force quit the app by swiping up from the bottom of the screen, then tap on the Podcasts app again to relaunch it. This can clear any temporary glitches causing the jumping behavior.
If none of these work, try updating iPadOS to the latest version. Go to Settings > General > Software Update and check for any available updates. Apple frequently releases bug fixes for the Podcasts app through system updates.
Hope this helps!