BnBs, combos that aren't necessarily true but are good mixups, and character specific tricks like recovery and tech. You have online for things like situations and dealing with DI, Training Mode isn't really conducive for those things. Though for DI, there are items that cause multihits like that one red bomb with the B on it that you can use for that.
I'm not very familiar with Roy, but some things you can potentially do is learn how percents can affect things like his version of Dancing Blade (Side-B) or how sweetspots and sourspots can affect combos. It's better to check resources that are more knowledgeable about the character though.
Other things that aren't character specific you can do are things like practicing teching, parries, and spotdodges. Set your cpu to do Smash attacks and then practice timing spotdodges. Set the cpu's character to Sheik and practice parrying both hits of Sheik's Smash attack. Get creative with the stage creation mode or download a stage that has hazards that repeatedly send you into a wall to practice your techs.
Basically anything that requires muscle memory is what Training Mode is good for.
