Wearable Internet of Things (WIoT) and Artificial Intelligence (AI) are rapidly emerging technologies for healthcare. These technologies enable seamless data collection and precise analysis toward fast, resource-abundant, and personalized patient care. However, conventional machine learning workflow requires data to be transferred to the remote cloud server, which leads to significant privacy concerns. To tackle this problem, researchers have proposed federated learning, where end-point users collaboratively learn a shared model without sharing local data. However, data heterogeneity, i.e., variations in data distributions within a client (intra-client) or across clients (inter-client), degrades the performance of federated learning. Existing state-of-the-art methods mainly consider inter-client data heterogeneity, whereas intra-client variations have not received much attention. To address intra-client variations in federated learning, we propose a federated clustered multi-domain learning algorithm based on ClusterGAN, multi-domain learning, and graph neural networks. We applied the proposed algorithm to a case study on stress-level prediction, and our proposed algorithm outperforms two state-of-the-art methods by 4.4% in accuracy and 0.06 in the F1 score. In addition, we demonstrate the effectiveness of the proposed algorithm by investigating variants of its different modules.