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I discovered that this can happen with underscores as well:
Python 3.8.7 (tags/v3.8.7:6503f05, Dec 21 2020, 17:59:51) [MSC v.1928 64 bit (AMD64)] on win32
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>>> import locale
>>> locale.setlocale(locale.LC_ALL, 'en_DE')
'en_DE'
>>> locale.getlocale()
Traceback (most recent call last):
 File "<stdin>", line 1, in <module>
 File "C:\flonidan\env\Python38-64\lib\locale.py", line 591, in getlocale
 return _parse_localename(localename)
 File "C:\flonidan\env\Python38-64\lib\locale.py", line 499, in _parse_localename
 raise ValueError('unknown locale: %s' % localename)
ValueError: unknown locale: en_DE
locale.setlocale does validate input - if you write nonsense in the second argument then you get an exception, "locale.Error: unsupported locale setting". So I'm guessing the en_DE locale is actually being set here, and the problem is solely about getlocale making unfounded assumptions about the format.
Same thing happens in 3.10.0a4.