On my iPhone 12 / Apple Watch Series 5 (with the latest version of iOS/WatchOS/Telegram) when any kind of Focus is enabled notifications are delivered to my iPhone even though the watch is connected and the app is installed onto it, I can still see them on the watch (in Notification Centre and when opening the app) but they are delivered silently there.
When not in Focus mode notifications are delivered directly to the watch (as expected).
Telegram is definitely added to the list of apps allowed to deliver notifications for a given Focus.
Other messengers deliver notifications as expected - directly to the watch - when added to the list of allowed apps for a given Focus.
I have tried reinstalling the app and restarting both the watch and the phone.
Telegram iOS 8.2.2 (22327), iPhone 12, 15.1.1