Most keyboards can hold sounds forever using a sustain pedal... assuming the particular sound itself is not designed to automatically fade out. So for example, even with the sustain pedal, a piano sound will eventually fade away, while, in most cases, a string sound will not. With many sounds, the ability of a sound to hold indefinitely depends on the setting of its sustain parameter. On boards that allow you to edit the sounds, you can control this. On boards that don't permit sound editing, you're limited to however the sound programmer designed it. On boards which allow you to split/layer sounds, you can usually program your sound combinations so that the pedal will hold sounds you want it to hold, and not hold sound you do not want it to hold. Again, it can vary with how much the board is designed to let you edit the sounds.
Your Yamaha MX88 has a lot of sound editing capabilities, but most of them cannot be accessed directly from the board. If you need to access additional parameters, you can use
John Melas' editor.
As for assigning the expression pedal to do what the mod wheel is doing, try changing the mod wheel setting from the default CC 11 (expression) to CC1 (modulation).