Cellular

Does your Apple Watch have a Red ring on the Digital Crown? If it does, then you have a cellular model. If you do not have the Red on your Digital Crown, then you have GPS only and lack the cellular hardware.

Also if you do have a cellular model, your iPhone carrier MUST support the Apple Watch.

Cellular Carriers that support the Apple Watch, which models, the radio frequencies each model uses, and the country where they offer service:

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

If you bought a cellular version of the Apple Watch then contact your carrier.