https://help.apple.com/watch/#/apd0443fb403
Apple Watch uses Bluetooth® wireless technology to connect to its paired iPhone and uses the iPhone for many wireless functions. Apple Watch can’t configure new Wi-Fi networks on its own, but it can connect to Wi-Fi networks you’ve set up on the paired iPhone.
If your Apple Watch and iPhone are on the same network but aren’t connected by Bluetooth, you can also do the following on Apple Watch without iPhone:
Send and receive messages using iMessage
Send and receive Digital Touch messages
Use Siri