Yes the previous poster is correct, the voice needs to be downloaded. First to you watch and then to your Watch. Put it on the charger and make sure Wi-Fi is on.
Setting Up Siri for Watch:
Open the Settings app on your iPhone. Go to the Siri & Search setting. Tap the Press Home for Siri slider to enable Siri for iPhone and Apple Watch. Tap on Siri Voice. Select the voice that appeals to you.
To check the status of the download on your Apple Watch, tap Settings > General > Siri, then scroll to Siri Voice. If the voice needs to download, you'll see this message: "Siri will speak with the same voice selected on your iPhone. Waiting to download. Download will occur when your watch is charging."
Note: Both your iPhone and Watch will share the same Siri voice / language selection.
Dave