ENH: Return locale based month_name and weekday_name values (#12805, #12806)
closes #12805
closes #12806
- [x] tests added / passed
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry

I am not sure what locales are available on the CI machines, but the test will run all available locales. 