What does the thermometer icon mean on my watch

See: Keep Apple Watch within acceptable operating temperatures - Apple Support

The Apple Watch automatically enters Power Reserve mode and displays a thermometer icon. If the thermometer bar is filled it means that the Watch is overheated.

 Overheating

If the Watch is displaying the overheating alert screen and you are wearing it, remove it from your wrist immediately and place it in a cool spot. Yes, it’s water resistant, but don’t throw it in a cool liquid because drastic temperature changes are not recommended either! Let it cool down naturally instead. Check it with your fingers. When ready press simultaneously the digital crown and the side button to perform a force reboot.