I have an new iCloud account but I want to Connect my Apple Watch

To unpair and erase watch and remove Activation Lock.

On a computer, go to iCloud.com and sign in with your Apple ID.

Go to Find Iphone.

Select All Devices, then click your Apple Watch.

Click Erase Apple Watch.

Select Next until the device is erased.

Click the remove button next to your Apple Watch.

Then go here;

Pair the watch with my new phone.

You can't back up your watch directly to iCloud. Apple Watch content backs up automatically to your companion iPhone, so you can restore your Apple Watch from a backup. When you back up your iPhone to iCloud or your computer, your iPhone backup also includes your Apple Watch data.