If I buy Apple Watch Ultra 2 from Vietnam will the cellular connection work in India?

Since watchOS and iOS are country specific, not all features might be supported.

watchOS - Feature Availability - Apple

iOS and iPadOS - Feature Availability - Apple

The built in hardware might not support all carriers, if it comes to 4G networks and other carrier features.

Have a look at this article:

Apple Watch - Carriers - Apple

iPhone - Supported 5G and LTE networks - Apple

And the warranty for your Apple Watch may also be restricted to the country of purchase. In case of a warranty claim, you will have to bring it back to the country of purchase. Apple does not ship internationally.

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Apple may restrict warranty service for hardware products to the country where Apple or its Authorized Distributors originally sold the device.

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copied from: Legal - Apple Watch Warranty US - Apple

Only the local carrier can answer that. If you look at the different model numbers for the Ultra, they support different LTE bands:

Apple Watch - Carriers - Apple

Apple recommends, that you buy the cellular Apple Watch in the country where you want to use it.

There is no guarantee that a cellular watch purchased in one country will work on cellular service in a different country.

If you want to be sure it works, buy it in India from an authorized retailer.