I had the same thought about a previous CWL-SOU route, Letsflycwl.
Was it not part of a BRU-CWL route with some services calling at SOU en route? I suspect it might have been after Manx Airlines Europe became a franchise carrier for British Airways in the early 1990s, later to become British Regional Airlines (later acquired by British Airways), and after that British Airways Citiexpress following a merger with BA-owned Brymon Airways and finally BAConnect that was sold to Flybe in 2007.
There is an hourly direct rail route between Cardiff and Southampton with a journey time of around two and a half hours so it will be interesting to see what sort of take-up there is on the CWL-SOU and SOU-CWL. sectors.
The road journey between the two cities and city regions is an awkward one.