Apple Watch Ultra weather app indicating wrong ( My Location )

Did you check the settings for Location Services for your Weather App on your iPhone in Settings/Privacy & Security /Location Services/Weather -> While Using ?

Also make sure, that in the Settings for Weather in the WatchApp, Default City is set to -> Current Location.

Just to make sure, did you already try to force restart your iPhone and Apple Watch?

Force restart iPhone - Apple Support

To force restart your watch, press and hold the Digital Crown and the Side button together for about 10sec, until the Apple logo comes back again.

Try also to force restart your iPhone, in case some Apple Watch sync processes are stuck.

You can use the Feedback link to make sure, that Apple Techs are made aware of this potential software issue.

Apple does not follow these user to user communities.

Feedback - Apple Watch - Apple

I also have this issue, but have noticed that the only location that is consistently wrong is my ‘home’ location. Since Friday, it will not display correctly at all. I was in the office today, and the location changed in line with where I was. Came home tonight, and it won’t sync at all now. I use a third party weather app in addition to the Apple one, which updates fine. The accuracy isn’t as pin-point, but it updates as I move from town to town so the watch and phone are syncing.