Thank you everybody for heading me off in the right directions.
Solved .. Everybody is right - Just scroll the crown to select time zones. My goal was to set my second time zone to Greenwich Mean Time:
The current time in Ponta Delgada (PD) Azoras, Portugal is currently the same as Coordinated Universal Time - UTC (formally GMT) but only until Daylight Savings Time ends on 10/26/20. Then one must switch to LONdon time which will go off Daylight Savings Time on that date (they call their DST BST - British Summer Time - includes Greenwich).
So .. If one wants to maintain UTC (formally GMT), We’ll need to change time zones twice a year on the Apple Watch GMT watch face. It would be good if Apple would put UTC (or GMT for that matter) as an option when scrolling through those time zones.
P.S. Zulu time (military time) is the same as UTC (no DST allowed).