It's an e-SIM, not a physical card you insert.
It's already known to your carrier & is activated & downloaded to your Watch as part of the setup process.
From Apple KB - Set up and use cellular on Apple Watch Series 3 (GPS + Cellular)
Set up your cellular plan
You can activate Apple Watch Series 3 (GPS + Cellular) when you first
set up your Apple Watch. During setup, look for the option to set up
cellular, then follow the onscreen steps. Or you can set up cellular
- On your iPhone, open the Apple Watch app.
- Tap the My Watch tab, then tap Cellular.
- Tap Set Up Cellular. Follow the instructions for your carrier. You might need to contact your carrier for help.
And from EE [UK supplier] - How do I set up my Apple Watch Series 3 (GPS + 4G)?
Do I need to insert the eSIM?
No, your Apple Watch Series 3 (GPS + 4G) includes an eSIM. It's not a
physical SIM and is instead automatically downloaded and activated as
part of the set-up process, so don't worry - it's all ready to go.