The early buildfarm returns for commit 1e165d05 are pretty awful:
not only does Windows not return a useful error, but it looks like
a lot of Unix-ish platforms don't either.  Given the number of
different errnos seen so far, guess that what's really going on is
that some newlocale() implementations fail to set errno at all.
Hence, let's try zeroing errno just before newlocale() and then
if it's still zero report as though it's ENOENT.  That should cover
the Windows case too.

It's clear that we'll have to drop the regression test case, unless
we want to maintain a separate expected-file for platforms without
HAVE_LOCALE_T.  But I'll leave it there awhile longer to see if this
actually improves matters or not.

Discussion: https://postgr.es/m/CAKKotZS-wcDcofXDCH=sidiuajE+nqHn2CGjLLX78anyDmi3gQ@mail.gmail.com