I ordered an Apple Watch but got just the box, no watch

no, they can't and if they could it would be illegal for them to do so in most countries in the world

if you ordered a product and it was stolen or parts of it was stolen then it's a legal matter between the carrier / transport company and apple

reach out the carrier and maybe apple too to let them know

Get Support (apple.com)

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 Contact - Official Apple

Support

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Contact - How to Contact Us - Apple

Having the serial number or other equipment identifiers is no help unless the thief is already arrested and Law Enforcement needs to prove stolen property has been recovered.

Apple Watch is not inherently trackable unless it is already configured to Apple ID and the FindMy app. It is unlikely the thief would have left such clues to help get arrested! The probability is that the stolen watch will not appear on the cellular networks, and unlike the cop/spy TV shows the ability to track even an active cellular device is to hundreds of metres, not to an exact seat at a restaurant table.