(going by memory here)
I've got several time zones set up in World Clock in the phone's Clock app.
They're all accessible on the Watch as a complication. When you customize a face, select a complication position and scroll down to World Clock. The different time zones are grouped together towards the bottom of the list.
#5 here talks briefly about complications:
https://support.apple.com/en-us/HT205536
I think I used the AW app on the phone to rename some of the alternate time zones to what I wanted, like "GMT" for London time, etc.
But like I said before, though, I don't think there's a way to create and show a brand new time zone on the AW itself, or to change the watch's location (and, thus, its displayed time) in AW's native Settings. For example, here in the US, I have Eastern, Central, and Pacific times set in my phone, but no Mountain time. I don't think I'd be able to set my AW to Mountain time without the help of my phone (which would pick up Mountain time if I fly into Denver, Colorado).