I have cellular data on my Apple Watch but if my phone is off or out of range, my watch will not work. What do I have to do to fix that?

First ensure cellular is turned on! Swipe up the Control panel from the bottom of the screen.

It sounds as though you may not have an eSIM plan for the Watch from your iPhone cellular provider

See this KB article how to set up cellular which usually involves an extra charge.

Set up your Apple Watch – Apple Support (UK)

which includes this article how to set up cellular

Set up cellular on Apple Watch - Apple Support

or in UK

Set up mobile on Apple Watch – Apple Support (UK)

You may need t contact your cellular provider to find out whi it is not working or contact Apple support directly.

Click here > Contact - Official Apple Support

or phone numbers

Click here > Contact Apple for support and service - Apple Support

and or

Genius Bar Reservation and Apple Support Options - Apple