The name of the locale for an alias is currently displayed in English only. It appears in the list of aliases for an entity (artist...), when editing it, and in editing history.
 
Instead, it should be displayed in the user-selected locale for the website.

Implementation-wise, alias locales are defined from Unicode Common Locale Data Repository (CLDR) which is processed by the third-party package DateTime::Locale which is in turn processed by our script/dump_locales.pl to obtain the current JSON list of locales with code and English name.

The native locale name is also available from DateTime::Locale, but not the localized name for each other locale.

Further research work is needed to determine whether such localized name is available in Unicode CLDR (which would be ideal for best coverage), or if it should be retrieved from another place (such as Wikidata which seems to attach code to some language items but with unknown coverage).