"Roaming" means using mobile services from abroad (Voice, SMS, MMS, Internet).
Mobile data must be activated to be able to access the internet (to view web pages, access/send/receive e-mails, use apps, streaming, visit social networks, etc.) using the mobile network.
Mobile data roaming means accessing the internet from your mobile when you are abroad, and this may generate additional costs depending on your country of destination.
You can view Roaming tariffs here.
This requires specific settings to be configured directly on your phone (the settings depend on the brand and model of your phone).
Try to restart your phone first.
If the problem persists, try connecting your phone to a different local network service provider.
You can do this in your phone settings by switching the network connection setting to "manual" and select a different network operator.