Hey there pedrurrego,
We understand you want to track your sleep without an option to turn the alarm off on your Apple Watch. We'd be happy to provide information about how to do this.
You can actually change this in the Health app using the steps here:
Track your sleep on Apple Watch and use Sleep on iPhone - Apple Support
Edit your sleep schedule on your iPhone
If you need to update your sleep schedule, you can make changes to your full schedule or for Next Wake Up Only. With Next Wake Up Only, the changes you make apply only to the following day. Changes made to your full schedule apply to all future days.
Update Next Wake Up Only
1. Open the Health app, tap Browse at bottom of the screen, then tap Sleep. If you have Sleep saved to your Favorites list, you can access it from the Summary page in the Health app.
2. Tap Edit under the sleep schedule in Next.
3. Drag the curved slider to set Bedtime and Wake Up times. The slider turns orange if the schedule does not meet your sleep goal.
4. Tap Alarm to turn on the alarm and adjust your alarm sound, volume, and haptics.
5. Tap Done to save your changes.
You can also change your next Wake Up alarm from the Clock app.

Update your full schedule
1. Open the Health app and tap Sleep.
2. Tap a schedule in Full Schedule & Options.
3. Tap Edit under the schedule you would like to update.
4. Tap the Days Active and drag the curved slider to set Bedtime and Wake Up times. The slider turns orange if the schedule does not meet your sleep goal.
5. Tap Alarm to turn on an alarm and adjust your alarm sound, volume, and haptics.
6. Tap Done to save your changes.
You can also turn off your sleep schedule as needed. In the Health app, tap Browse > Sleep > Full Schedule & Options. Then tap Sleep Schedule at the top of the screen to turn your schedule off or on.
As you can see on step 5 under the section titled "Update your full schedule", you can turn off the alarm. You can still set an alarm in the Clock app for iPhone which will go off independently of the Sleep option.
Regards.