For $25/year, subscribe to Apple iTunes Match. This allows you to upload up to 100,000 DRM-free files of your own, such as MP3 audiobooks to iCloud Music Library. (Note that Match has (the last time I checked it) a 2 hour or 200MB limit per file, so for must books you'll need to upload the book as "an album" with multiple tracks.
You can then download files from the Cloud to Apple Watch, and you can also stream the files. Some Google search results say you cannot stream from Match files in the Cloud...but I just confirmed it works by leaving my iPhone in the house, walking down the block away from WiFi with my Apple Watch 4 Cellular, and streaming a book that I have in the Cloud but not on my Watch to my Airpods Pro. With Covid 19 issues, I'm not currently going to the gym, but this is how I listened to audiobooks when I didn't want to carry my iPhone around during workouts. Plus - Apple Watch can stream using the gym WiFi so you don't burn up cellular data.
Note that you do not need to subscribe to Apple Music; iTunes Match is a different service.
Good Luck!