Can you give the following steps below a try please:
Turn your phone off and then back on again
Go into your phone settings and select a network manually.
Try removing your phone’s battery, while it’s still switched on – this helps reboot it and find a local network.
Something else you can check is roaming is active when you log into Your Account. Click on plans and devices then click the tab manage devices. Make sure roaming is set to on here. You can also check the call barring option to stop calls abroad isn't set to on.
I'm sorry to say there's no other settings I can think of you could check if the data roaming setting has been turned on and you are still not able to use it.
If the problem persists I would recommend calling in on 789 or alternatively whilst abroad +447953967967 as my colleagues at Mobile will be able to check everything account wise is active for data roaming.