Is this a massive misunderstanding of GPS? What are you hoping to do here?

GPS is a passive antenna / receiver. You don't emit anything with GPS, you just passively pick up signals from GNSS satellites. You could "turn it off" by unpowering the GPS receiver, but there's little benefit there, and that may not be possible because most of these are soldered directly to the mainboard for power efficiency reasons. These embedded receivers barely use any power whatsoever, and if your cellular / WiFi is already off, it's certainly not transmitting it in real time. If you want to stop location logging you would need to opt out of location logging. I don't know if that's possible with Apple Watch products, but turning GPS "off" doesn't tend to make a lot of sense in many contexts.