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The wcsxfrm() function may fail but there is no error check code.
I don't know what exception type should be used here: OSError with an errno EINVAL or some specialized type. I can't prepare tests, because I don't know under what conditions it would be possible error, and whether we can get it on any system at all without broking some internal unicode object invariants.

Have you tried code points beyond the BMP?
The C function doesn't have a return value that signals an error. An explicit check of errno is required. http://linux.die.net/man/3/wcsxfrm 

Here is a sample patch (to specify the location of the issue). I don't sure OSError is well here.
As far as I understand, this function is Windows-specific, so I can't check how it works with code points beyond the BMP or with surrogates.

The patch looks good. `s` and `buf` are cleaned up after the exit label.

> I don't know what exception type should be used here: 
> OSError with an errno EINVAL or some specialized type. 
No, I think the appropriate error is ValueError, at least if errno is EINVAL.
> because I don't know under what conditions it would be possible error
AFAICT, glibc never sets errno. 
msvcrt gives EILSEQ or ERANGE, but never EINVAL. EILSEQ is returned if LCMapString failed, and ERANE if the output buffer is too small. In either case, the result is INT_MAX.

> No, I think the appropriate error is ValueError, at least if errno is EINVAL.
With what message?
> msvcrt gives EILSEQ or ERANGE, but never EINVAL. EILSEQ is returned if LCMapString failed, and ERANE if the output buffer is too small.
I don't see where ERANE can be returned. If the output buffer is too small then the required buffer size (not including terminating null-char) should be returned.
I see the same issue with wcscoll() in locale.strcoll().
An alternative solution is in case of an error to return the original string (in locale.strxfrm) and to compare strings without regard locale (in locale.strcoll).

Dummy question: can you provide an example of strings that make wcsxfrm() failing?

> Dummy question: can you provide an example of strings that make wcsxfrm() failing?
No, I can not (on Linux).

What error message is most appropriate here?
Can we return the original string instead of exception?

@Serhiy will you follow up on this?

I have no Windows and can't provide relevant test case.

@Serhiy you don't need Windows, msg170593 refers to a Linux man page. Reading your msg170595 I'd guess that you've got confused with a similar function that is Windows specific.

New changeset be487a65f18e1be5fde03e2977fff4be53cc2fbf by Serhiy Storchaka in branch 'master':
bpo-15954: Check return code of wcsxfrm(). (#508)
https://github.com/python/cpython/commit/be487a65f18e1be5fde03e2977fff4be53cc2fbf