I should point out using Python2.7 with wxPython I do not see this issue.
This issue was exposed during my efforts to port pysvn from py2.7+wxPython to py3.4+wxpython-phoenix.
I do setup locale on the main thread very early before starting the background thread.
I have attached the initLocale() I use.
The background thread needs the locale setup and I use getlocale() to prove that it is setup.
I do not see this as a duplicate of Issue18378 as I can init the locale.
The problem, and I could believe its an OSX bug, is that new threads do not return the expected locale from _locale.setlocale() for a period of time, approx 2s after starting up.