Why do I have to unlock my iPhone/Apple Watch to use Siri?
It's a pain, right?
Unfortunately there is a limitation with Siri right now that prevents third-party apps from managing the GPS in the background via Siri. There are some potential hack-y workarounds, but the only reliable way to make it work is to require you to unlock your phone so the app can launch, and is what Apple recommends:
Requiring the user to unlock their device before launching your app when starting a workout is correct behavior. - Apple Representative
It's not ideal, and we'll change things once Apple provides a way, but for now using Siri is still a shortcut overall.