I've had the same issue in the past. I believe the audio is transferred from your paired iPhone and the Apple Watch but, by what means it's transferred is beyond me (Wi-Fi, Bluetooth) I actually reset my Apple Watch series 4 today due to the fact that the battery was draining ultra fast. I had the watch and phone together and the watch was on the charger but Mickey never did work until I got home. I could be wrong but I suspect that because I am now connected to my Wi-Fi network that perhaps it hurried up the process or requires it. I don't know any supporting documentation from Apple to this regard but I can say that it's working now after a very short period of time being home.