Greetings starchild13417,
It sounds as though you have the Audicy app installed on your iPhone and wanting to enjoy ESPN Radio via that app on your Apple Watch. If that application is available on the Apple Watch, you can pair Bluetooth headphones or a Bluetooth speaker to your Apple Watch via the steps in the article below.
Connect Apple Watch to Bluetooth headphones or speakers
If the app is already installed on your iPhone, you can follow the steps in the section "Get apps with the iPhone that's paired with the Apple watch" of the following article to install the app.
Download apps on your Apple Watch
If your Apple Watch is Wi-Fi only or is Wi-Fi and Cellular data, but doesn't have a data connection, you would need to be in range of your iPhone to stream audio via the Apple Watch.
Take care!