After using Sailfish OS on Xperia 10 III for 1.5 years, here are my experience with mobile data when roaming so far:
All tests done with ELISA FI sim card.
Estonia - works
Åland Islands (Ålcom network) - works
Croatia - works
Spain - works (tested both with ELISA FI and DNA FI sim card)
Poland - doesn’t work¹
Sweden - doesn’t work
Germany - doesn’t work²
¹ Collected ofono.log during my visit in Poland for anyone interested. I had a lot of extra time here to try different troubleshooting steps: tried both SIM1 and SIM2 cards slots, tried all APN protocols (IP/IPv6/Dual), and attempted all tricks mentioned in Resetting oFono Settings | Sailfish OS Documentation.
² In Germany it was showing interesting behaviour: when mobile data was turned off it would connect to network with 4G, but as soon as you enabled mobile data the network was downgraded to 3G (but still without working mobile data)