https://wccftech.com/watchos-5-lets-you-manually-connect-to-any-wifi-network/

Previously limited to connections synced to iCloud, watchOS 5 lets you connect to the WiFi network of your choice, manually.

If, for some reason, you are out of range from your iPhone or if Bluetooth is turned off, your Apple Watch will automatically connect to WiFi to sync data, provided you’ve connected to that network before using your phone. So basically, if you are out and about without your iPhone in unknown territory, your wearable will stay disconnected until you approach a known network. You don’t have control over WiFi at all.