My NLS_LANG must be correct as all "ORA-xxxxx" messages are in Swedish.
I just had a look at the topic "Direct Oracle Access Message Translation" which talked about some strings related to TOracleDataSet and TOracleLogon, but there seem to be more strings than that.
The two strings I've discovered so far are "Not logged on" and "Variant conversion error for variable :VARDE", and neither of them are seen in this help topic.