Odd, Microsoft does not mention cellular connectivity on any of the tech specs or wireless connection lists on their website for the Surface Pro 4 tablet. Microsoft suggests using your phone as a hotspot and connecting with WIFI when questioned about where is the cellular connectivity like the iPad.
There were a small number of Surface 3s made that had cellular connectivity, but not the Surface Pro 4, apparently. MS says they might get around to it by 2018, but the costs are "non-trivial" to include it.