Some things to try. 1 - Manually search for a different network. 2 - Reboot your phone 3 - Call customer service to check for any roaming bars. 4 - If using an iPhone, change data apn to "mobile.o2.co.uk"
I have no affiliation whatsoever with O2 or any subsidiary companies. Comments posted are entirely of my own opinion. This is not Customer Service so we are unable to help with account specific issues.