Adding custom locales

[sicutestunda]

So I don't really understand the documentation regarding locales. It says you can specify a locale to load from the available files, OR you can write the array yourself. I wrote the array myself because the language I needed (Danish) was not available. But now it says "Wrong locale name provided. Please make sure you set the correct locale name in options". What? If my language doesn't exist I can't even add it myself? What is even the point of writing my own configuration array then? And what can I do now? The most relevant part of my graphs (weekdays and months) is untranslatable...