Make wxLanguageInfo::GetLocaleName() consistent across platforms

Check that the locale can be indeed set to the given string in Unix
version too, there doesn't seem to be any good reason to do it for MSW
only.

interface/wx/intl.h

@@ -55,8 +55,13 @@ struct wxLanguageInfo
     /// @onlyfor{wxmsw}
     wxUint32 GetLCID() const;
 
-    /// Return the locale name corresponding to this language usable with
-    /// @c setlocale() on the current system.
+    /**
+        Return the locale name corresponding to this language usable with
+        @c setlocale() on the current system.
+
+        If setting locale for this language is not supported, the returned
+        string is empty.
+     */
     wxString GetLocaleName() const;
 };