Apple Music on Apple Watch

Hello - I have a Apple Watch Sport Series 3 with LTE, on Verizon, and an iPhone 7. I use bluetooth headphones to listen to music from my apple watch when I'm away from my phone (not AirPods, third party). Music stored on my watch plays just fine, and radio works as well. However, when I request a song (via siri) not stored on my apple watch, I run into trouble. If I'm in range of my phone it plays on my iPhone. If I'm out of range, Siri gives me an apology and says there's not device to play on.

I've searched through the settings and online forums and haven't found a solution. Has anyone else encountered this? Am I missing something?

Thank you.