How to change the language of the date (day of week) in Yosemite's lock screen?
You may want to check this article from Apple's website.


  OS X Yosemite: Customize formats to display dates, times, and more
  
  Change the language and formats used to display dates, times, numbers,
  and currencies in Finder windows and apps, such as Mail. For example,
  if the region for your Mac is set to United States, but the format
  language is set to French, then dates in Finder windows and email
  messages appear in French.
  
  Tip:   If you just want to change how time is shown in the menu bar,
  select the “Time format” checkbox in the Language &amp; Region preference
  pane, or select the 24-hour option in the Clock pane of Date &amp; Time
  preferences. To show the date in the menu bar, also select “Show Date”
  in the Clock pane.
  
  
  Choose Apple menu > System Preferences, then click Language &amp; Region.
  Choose a geographic region from the Region pop-up menu, to use the region’s date, time, number, and currency formats.
  To customize the formats or change the language used to display them, click Advanced, then set options.
  
  In the General pane, you can choose the language to use for showing
  dates, times, and numbers, and set formats for numbers, currency, and
  measurements.
  
  In the Dates and Times panes, you can type in the Short, Medium, Long,
  and Full fields, and rearrange or delete elements. You can also drag
  new elements, such as Quarter or Milliseconds, into the fields. If
  you’re not using a 24-hour clock, you can replace AM and PM with
  whatever you type in those fields.
  When you’re done customizing formats, click OK.
  
  The region name in Language &amp; Region preferences now includes “Custom”
  to indicate that you customized formats.
  
  Your formats are visible in Finder windows and in some apps. For
  example, dates in Mail or Notes show your custom format.
  
  
  To undo all of your changes for a region, choose the region again from
  the Region pop-up menu. To undo just your changes to advanced options,
  click Advanced, click the pane where you want to undo your changes,
  then click Restore Defaults.