From version 6.0 of April 2023, Siri Shortcuts to Start, Stop or Pause an activity,  are also automatically created and working on the new iOS versions (iOS 16 or higher). It works also on watchOS 10 or higher.

For previous versions or advanced features, on iPhone, you can also set it from the Settings Tab:

Note: On Apple Watch 9 or below, you have to do manually from Apple Shortcuts: