Apple Watch 4 cellular

By the way I note that the message is from apple.com/uk so I suspect this is a British Watch and as it says in that link

"To cover the LTE and UMTS bands used around the world, there are two separate cellular models for Apple Watch Series 8, Apple Watch SE and Apple Watch Ultra. They have been optimised for use in the country of purchase, and not all models work in all countries or regions. There is no single model that supports cellular service worldwide."

Just a guess but I would say your Apple Watch does not support Jio mobile service in that region. Apple Watch can only be used with mobile plans that are certified by your network provider, so talk to Jio

If the Watch was bought outside of your country to save cash then it may never work.