Hi
The ping iPhone feature on Apple Watch only works when the devices are connected via Bluetooth:
About Bluetooth and Wi-Fi on Apple Watch - Apple Support
If you cannot locate your iPhone and it is not connected to your Apple Watch via Bluetooth, then - with Find My iPhone enabled - you may be able to make it play a sound via iCloud.com:
iCloud: Play a sound on your device
If your iPhone has been lost or stolen, then be sure to follow the steps here: