Not able to setup mobile data in apple watch

A watch purchased in one country many not work on the service of another country.

You would need to check to see if the version of a device will work.

https://www.apple.com/ca/watch/cellular/

See also https://support.apple.com/en-ca/HT207578

They mention here:

About international roaming

• Cellular roaming isn't supported outside your carrier network coverage area.
• 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.
• When your Apple Watch is connected to your iPhone or a previously joined Wi-Fi network, you can still use all the features of your Apple Watch, even if cellular isn't available.