Does the AppleCare cover lost watch

I think this is the link for which you are searching which includes Watch plans, and none of those include theft and loss for Watches.

Link to page with pricing information for various plans - https://www.apple.com/search/AppleCare?tab=accessories&src=serp

No, its doesn't cover loss or theft.

If you purchased in America this policy you would be https://www.apple.com/us/search/applecare-plus?src=globalnav

https://www.apple.com/us/search/applecare-plus?src=globalnav

Depends on the country it was purchased in.