Almost always, yes — usually by an order of magnitude. Standard carrier roaming outside your home region is commonly billed per megabyte or as a daily pass of 10-15 USD. A travel eSIM is a prepaid data plan bought at local wholesale rates.
A concrete comparison: a 5 GB / 30-day plan for a single country averages about 28 USD across our catalogue. A daily roaming pass at 10 USD reaches that after three days, and keeps charging.
The exception is regional roaming that your carrier already includes for free — EU-to-EU roaming for EU customers, for example. If your plan covers the country you are visiting at no extra cost, use it. Everywhere else, prepaid data is cheaper.