I bought an Apple Watch from United States from Apple store and I am trining for set up the cellular plan here in Qatar and in my iPhone it shows the set up cellular button is lighted off which I can not select?

No. The cellular radio in the watch is not compatible with carriers outside of North America.

A cellular watch bought in the US will only function in North America,Canada,Mexico and Puerto Rico anywhere else it will function as a GPS only watch.

Not as far as I know, the cellular is region specific,the watch will work only as a GPS version.

And network providers tend to frown upon watches that are not bought from the country you are in.