Shopify Liquid has allows you to change the formatting of the date string but the default output is English. If you want to change the days or months to be shown in another language you'll need to translate it. Let's explore some code to do just that.
The basic idea is simple: Take the current date string and replace the day or month names with your localised version. It makes heavy use of the Liquid replace string filter.
You can grab the code directly from the Shopify Code Snippets repo or copy and paste from the below.
grabbing the liquid snippet...