Did you already have a look at this section of the related article about setting up cellular on the Apple Watch?
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With watchOS 9.1 and later, international roaming is available on cellular models of Apple Watch Series 5 and later, Apple Watch SE and later, and Apple Watch Ultra.
To get international roaming on your Apple Watch, contact your iPhone carrier to add your watch to your iPhone cellular roaming plan. For international roaming to work on your Apple Watch, your carrier must support VoLTE and roaming. Not all carriers support international roaming on Apple Watch and coverage in other countries is determined by your carrier.
To turn on international roaming, open the Settings app on your Apple Watch. Tap Cellular, then turn on Data Roaming.
International roaming isn't supported on cellular models of Apple Watch that were set up using Apple Watch For Your Kids.
To cover the LTE and UMTS bands used around the world, cellular models of Apple Watch come in regional models for the Americas, China mainland, and Europe/Asia Pacific. Unlike iPhone, there isn't a worldwide Apple Watch model that supports all cellular bands used globally. Find out which carriers in your country or region offer cellular service for Apple Watch.
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copied from: Set up cellular on Apple Watch - Apple Support
Also check this article, if you haven't already:
Apple Watch - Carriers - Apple