You can view how your Apple Watch is connected (e.g., Bluetooth, Wi-Fi, Cellular, etc.) by visiting the Control Center; refer to this wireless connections support page for more info.
If you move out of range of your current wireless connection (e.g., Wi-Fi) while on a call, the call may drop.
These steps apply to the following models:
Apple Watch Series 3
Apple Watch Series 4
Swipe up on the watch face to open the Control Center.
Look for the green phone icon (upper-left) to see if your iPhone is connected.
If not, the watch face displays 'Disconnected'.
The Wi-Fi icon (upper-left) is displayed in place of the phone icon and the wireless signal icon is highlighted if you are connected to a Wi-Fi network.
To see if you have an active cellular connection, swipe up to access the Control Center and see if the wireless signal icon is highlighted in green.
The signal strength is indicated by the dots in the upper-left.