Unfortunately, it seems that Apple might have forgotten about the Apple Watch. According to a report from developer Mysk, they have discovered that when users view their emails and download attachments from their emails via the Apple Watch, it does not afford the same level of privacy protections as the iPhone.
https://twitter.com/mysk_co/status/1460345878946922498
According to the tweet, when users open and download emails using the Apple Watch, or even viewing the email through notifications on the Apple Watch, it actually uses your real IP address. This means that whatever protections you might have enabled on the iPhone like Mail Privacy Protection has been bypassed.
It seems like this might be an oversight on Apple’s part. Maybe the company assumes that people don’t really check their emails on their smartwatches, or maybe they completely forgot about it. Hopefully this is something that the company will address in future watchOS updates. In the meantime, those who do check their emails on their watch, if you’re particularly concerned about tracking and privacy, there is no workaround short of disabling previews.