Hello Tomman98,
This comes down to how notifications are done on iPhones and Apple Watches. It's detailed fully at Notifications on your Apple Watch - Apple Support, but it comes down to:
If your iPhone is unlocked, you get notifications on your iPhone instead of your Apple Watch.
If your iPhone is locked or asleep, you get notifications on your Apple Watch, unless your Apple Watch is locked.
So since the iPhone is asleep and your Apple Watch is recognized as in use, it goes to the watch. An option may be to increase the haptic response on your watch to make it more noticeable to wake you. Per Change the audio and notification settings on your Apple Watch - Apple Support:
1. Open the Settings app.
2. Scroll down and tap Sounds & Haptics.
3. Turn Haptic Alerts on or off.
4. To add extra emphasis to haptic alerts, tap Prominent. This feature adds an additional haptic tap that pre-announces some of your other haptic alerts.
So give that a try and see if it helps!