That is very unusual, because in normal operation the incoming message is received by the iPhone, then pushed on to the Apple Watch. The only way I might expect a message to appear on the Watch but not on the paired iPhone would be the cellular version of Apple Watch, working in standalone direct cellular mode while the iPhone did not have a network signal (Airplane mode?).
I suggest restart the Apple Watch and the iPhone and see if the problem occurs again in the future. Logic: It's a computer, in case of doubt REBOOT!
Restart your Apple Watch - Apple Support
Restart your iPhone - Apple Support