I just bought an Apple Watch and I think the activation lock is on. How do I pair my phone?

You can't.

Activation Lock is a theft deterrent feature with no bypass or workaround.

Without the owner's authorisation (Apple ID & password), no thief or anyone including you can re-use the device.

If you bought a used watch it may be locked. Only the person that locked it can unlock it. It is useless otherwise.