Well yes, you can call that number, but ONLY because it is tied to YOUR iPhone. If you have an Apple Watch, you also have a phone number for the watch, but you CANNOT call that number. Apple Watch is NOT a standalone device, hence why your child's watch is tied to your iPhone. As such, since the watch will be out of the country, and your iPhone will be where you are, roaming isn't an option for your child's watch.
Perhaps complain to your cellular provider. They are the ones who provide cellular services. Not Apple.
On a final note, not all carriers, nor all countries support Family Setup for Apple Watch. This is a new feature Apple rolled out and you are just up against the limitations of what the services can do at this point. You're still thinking as though because you can call the number your carrier assigned to the watch, that it is more standalone. It isn't. It's totally tied to your iPhone.