CLN: Clean up of locale testing
- [X] xref #23923, https://github.com/pandas-dev/pandas/pull/29852#discussion_r351228283

There are couple of things I don't understand from the locale:

- For what I see, we test with different locales (e.g. `it_IT.UTF-8`) but pandas never uses the language (`it_IT`) only the encoding (`UTF-8`). So, not sure if testing with different locales is being useful.
- The variable `LOCALE_OVERRIDE` seems to add more complexity than value. Unless `LC_ALL`/`LANG` are being set afterwards, but I don't think so.
- There is a test that is using `LOCALE_OVERRIDE` but doesn't seem to depend on the actual locale of the system. It probably makes more sense to parametrize and test all the locales we want, than use the variable value (when testing locally this test will be more useful).
- There is a "test" being skipped in `run_tests.sh` that is probably worth converting to an actual test.

Addressing these things here, but I may be missing something here. Please let me know if that's the case.