Most of them do that. The only ones that don't will have an LFO that pushes out a hyper-triangle waveform.

OK, the LFO you have in there is linear... triangular... smoothly ramps up, smoothly ramps down, so many volts per second rise/fall rate. But our ears' perception of frequency is nowhere near linear - it doubles every octave. So, say the LFO starts at 0.5V (it probably doesn't, but let's keep the maths simple) - by the time it gets to 1V, the "phase frequency", for want of a better term, has doubled. The LFO now needs to get to 2V to double the phase frequency again, and 4V to re-double it and then 8V. The voltage required to get the same-size "step", as our ears perceive it, has to double every time. So...

A hyper-triangle ramps up slowly to start with, increasing its slope as time marches on. When it hits the top stop, it ramps down sharply to begin with, gradually flattening out until it reaches the bottom stop. There's a post

from about 4 years ago where this is explored, a bit, with an interesting reply (reply 7) from Mark Hammer about the potential drawbacks and how EHX solved the problem.

There's a neat circuit, if you want to check this out,

here at birthofasynth that converts a triangular waveform (which you're already getting from your existing LFO) into a sine or hyper-triangle. The circuit as shown runs off +15/0/-15V, but you can run it off 9V/0V (bias at the LFO's Vref, of course). The trimpot at R1 adjusts the shape of the sine wave (which you'll need to do to get a good hyper-triangle shape later). The pot at R6 will give you a sine wave in the centre, hyper-triangle at one extreme and inverted hyper-triangle at the other. Once you've found which way round that is, hard wire it. Not many components and you can always install a switch for LFO source if you run into the problems Mark Hammer mentioned in my first link.