Some things to try:
1 - Reboot phone.
2 - Manually search for a different network
3 - If using an iPhone, change data apn to "mobile.o2.co.uk"
4 - Check with O2 for any roaming bars.
If you message O2 on Facebook (https://o2uk.co/O2CFB) , Twitter (https://o2uk.co/O2CTW) or Instagram (https://o2uk.co/O2CIG) , they should be able to help you with this.