From KeyEvent.getKeyText() javadoc :
These strings can be localized by changing the awt.properties file.
I do not have any idea how we are supposed to do that. Instead, I found this on Oracle website:
2.3 Key Events
This section describes issues with key events.
2.3.1 General Unresolved Keyboard Issues
The following keyboard issues are currently unresolved.
Changing the default locale at runtime does not change the text that is displayed for the menu accelerator keys.
Looks like a Java bug to me. They don't even say they will fix it, but I don't see a workaround right now.