did your carrier support Roaming on Apple Watch? If yes, did you activate Romaing on your Apple Watch?
See Apple Support Page:
Yes and Yes.
Here's a key part of the Apple support page:
To cover the LTE and UMTS bands used around the world, cellular models of Apple Watch come in regional models for the Americas, China mainland, and Europe/Asia Pacific. Unlike iPhone, there isn't a worldwide Apple Watch model that supports all cellular bands used globally. Find out which carriers in your country or region offer cellular service for Apple Watch.