My watch has a radio app, which I presume came with Watch OS5. It offers CBS News Radio, npr, ESPN Radio, and Bloomberg Radio. I checked to see if it works (it does), but didn't try it without the iPhone. Since my iPhone doesn't have a radio app, I presume it will work on cellular without the iPhone.
Do you have series 4 watch? I have WatchOS 5 on my s3 but the only radio I see is part of Apple Music.