Hi
Apple Watch (GPS) and Apple Watch (GPS + Cellular) are separate models, with different hardware. In order to be able to use built-in cellular features, you would need to buy an Apple Watch (GPS + Cellular) model.
Apple Watch (GPS + Cellular) is not locked to any specific country or carrier and has a built-in eSIM that copies information from the iPhone's SIM card.
The built-in cellular features require a carrier plan in your country of use that specifically includes support for Apple Watch (including the carrier activating the device on the plan).
If buying Apple Watch Series 3 (GPS + Cellular) in another country, then you would need to buy a model that supports the relevant LTE and UMTS bands for your intended country of use and your supported carrier there.
There are three different regional versions of Apple Watch Series 3 (GPS + Cellular), each supporting different LTE and UMTS bands, as detailed here:
Apple Watch - Carriers - Apple
If in doubt, I suggest that you contact your intended carrier in your country of planned use to ask whether any given model can be used on their network with a plan that they may offer or plan on offering for iPhone that supports Apple Watch Series 3 (GPS + Cellular).
Note also that the built-in cellular features cannot be used when roaming.
Also keep in mind that warranty service may be restricted to the country in which Apple Watch is originally purchased:
Apple One (1) Year Limited Warranty