The volunteers here do not know for sure, as there are very few reports of whether this works or not.
The list of cellular carriers
https://www.apple.com/watch/cellular
Shows the same Apple Watch Ultra II being used in the U.S. and the EU, so in theory it should work.
But A) this is new, as the previous Ultra I had a different model for the U.S. and the EU, each having a different cellular radio chip that did not work outside the area it was intended for because of different radio frequencies being used.
And B) I have seen just one report of success in these forums. I would not want to make a recommendation on just one report.
Also keep in mind that the warranty is country specific, so you may have to return to the U.S. if you want warranty service.