Elaborating on the mirror iPhone thing; make sure you've done it both notification settings for mail in the Watch app and in he Mail section in the watch app also.
In addition, make sure you've got notifications set to come through for each email account individually in the mail notification settings on your phone.
If this am doesn't work, then you've found a bug my friend. I've had calendar and reminders doing something similar, except I can't stop them showing on my watch, even when they're disabled completely, they still come through. Looks like Apple refuses to let me use fantastical.