Sonos products will not work on wifi networks that require a separate user name/password authentication or block peer to peer networking, amoung other things.  You could use a travel router, create hot spot with a phone, but the easiest thing to do is just use bluetooth in this situation.

How about if you have a Roam stereo pair? In a hotel, what's the best way of get a stereo pair to work with my phone. Is it using a hotspot?

Since the Roam can’t form a stereo pair over bluetooth alone, wifi is required, you would need to setup a hotspot.

If I set up a hotspot using my phone, can the same phone also stream the audio? 

No.

If you’re using a phone as a hotspot, you must always use a second device to connect to it, so the second device is running the controller. All devices will connect to the hotspot. 
 

In your situation, I’d get (and have, in the past)  a travel router, and use that to connect to the hotel’s WiFi, using the travel router’s interface to enter the hotel’s account and password. Then your phone and Sonos can connect to your travel router.