In case someone else is facing the same problem, I should have been more precise.
The parameter NLS_LANG had been defined within the registry-key HKEY_LOCAL_MACHINE\SOFTWARE\ORACLE\KEY_OraClient10g_home1 Although I've seen several machines defining it in the 'Home'-Section, it obviosly was not evaluated in my case.
If NLS_LANG is defined within HKEY_LOCAL_MACHINE\SOFTWARE\ORACLE, it's value will be considered in the session-settings.
HTH, Marco