International rooming and apple watch

The Apple Watch does not support Cellular Roaming.

When away from your home carrier's network, your Apple Watch will behave as if it is a GPS only Apple Watch, and depend on the iPhone for network access.

Awkward, but doable, is to find a cellular provider in Spain that supports the Apple Watch, and is willing to sell you an iPhone SIM for the duration of your vacation, and then you can activate your Apple Watch with the Spanish carrier. You will have to undo all that when you get back home. Like I said awkward.

Where, exactly, did you buy it, and where are you trying to use it?

There are basically 2 version of the cellular models. One for North America, and one for the rest of the world. The North American version will not work on cellular networks in other parts of the world.

And is the carrier you want to use it with on this list?

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