The electrification strategies that are being designed to meet sustainability objectives and rising energy demands pose significant challenges for power systems worldwide and require Transmission Expansion Planning (TEP). This study adopts a risk-informed approach to TEP, formulated as a multi-objective optimization problem that concurrently minimizes systemic risks and expansion costs. Given the intractability of this problem with conventional solvers, we turn to artificial intelligence techniques. In particular, we conceptualize power grids as graphs and introduce a goal-oriented graph generation methodology using deep reinforcement learning. We extend welfare-Q learning, a modified variant of Q-learning tailored to yield high rewards across multiple dimensions, by incorporating geometric deep learning for function approximation. This allows us to account for system security while minimizing grid expansion costs. Notably, system risk is evaluated by incorporating a Graph Neural Network (GNN) cascading failure meta-model into the proposed approach. The TEP method is applied to the IEEE 118-bus system, and the efficacy of this novel technique is compared against the state of the art. We conclude that the deep reinforcement learning method can compete with established methods for multi-objective optimization, identifying expansion strategies that improve system security at reduced costs. Furthermore, we test the robustness of the meta-model against topology changes in the transmission network, demonstrating its applicability to novel grid configurations.