Hello Jerry.
I apologise if this isn’t quite what you’re asking, but I don’t fully understand your question. I assume you’re asking about playing music when your phone is not nearby, otherwise wouldn’t it make sense to just connect headphones to your iPhone?
If you want to play music through Bluetooth headphones connected to your watch without your phone nearby, then it will need to be downloaded onto the watch.
I imagine if you have music downloaded to your phone that, even without internet connection, it will be able to play to the watch and through the connected headphones.
Simply put, if your phone is not with you you’ll need to have it downloaded. If it is, you’ll either need internet, or have it downloaded to the phone or watch.
I hope this helps.