My watch is WiFi only. The fall detection triggered while my phone was in a pouch on my bike so the call would have gone through that way.
The other thing it did was make a loud “woop…woop…woop” siren until I canceled it, so I’m guessing that siren would be all you get without any cellular connection at all.
If anyone is more informed please feel free to chime in!
In Europe, all consumer electronics with built-in cellular modems, like cellphones, smartphones, smart watches, etc., can call emergency services despite
not having an active cellular plan of any kind or any SIM-card inserted in your device.
I layman's terms, this means that all (cellular+Wi-fi) Apple Watch models can call emergency services free of charge even if your iPhone is turned off or not within range and you
do not have an active e-SIM cellular plan for your Watch.
For this reason it makes a ton of sense to get the cellular+Wi-fi model if you're living in the EU or go there a lot.
-And yes, you Americans traveling to Europe can make use of this feature with your American bought (cellular+Wifi) Apple Watches without paying for an e-SIM plan. As long as the cellular modem in your watch supports the local E.U. cellular towers.
-I believe all Apple Watch SE (cellular+Wi-fi) models, and certain older (cellular+Wi-fi) Watch models(?), don't feature cellular modems with support for all international cellular tower standards.
You can read more here (no need to read if you have an Ultra or a (cellular+Wi-fi) Series 8 or 9):
https://www.apple.com/watch/cellular/
*If it wasn't clear -No "Wi-fi only" Apple Watch model can't make these free emergency calls in the E.U. unless your iPhone is nearby.