If I buy a Apple Watch in Canada will it work in the UK?

Cellular Carriers that support the Apple Watch

https://www.apple.com/watch/cellular

This lists the specific Cellular Apple Watch models supported by each carrier, along with the radio frequencies those Apple Watches will work with.

As mentioned, if you get a GPS model, it depends on your iPhone radios and will work anywhere your iPhone works.

Cellular roaming isn't supported outside your carrier network coverage area. To cover the LTE and UMTS bands used around the world, Apple Watch Series 4 (GPS + Cellular) and Apple Watch Series 3 (GPS + Cellular) come in three regional models: Americas, China mainland, and Europe/Asia Pacific.

The watch part will work, of course, when connected to an iPhone, but the LTE bands used in the cellular Apple Watch 3 areCanadian specific. You will need a UK version - currently exclusive to EE - to use mobile broadband connectivity in the UK.

If you are buying the GPS model, yes it will work.