Have you tried searching for a network manually rather than automatically in settings? Also have a look at the roaming guide here.
Also check your spend cap in my3 as depending when/what tariff you are on depends whether you have to pay to activate roam like home.
If you're able to search for networks but are still unable to connect to any, this would usually indicate that roaming is not active on the phone, or on the account, or both.
Once you've tried that, if you don't have success, check your mobile data roaming setting again on the device, just to be sure. If that's definitely on already, reach out to the team on LiveChat where they can access your account, and ask them to make sure the roaming is enabled.
