Ubuntu comes per default with UTF8 locales only, sometimes thats not enough.
The Debian-way with dpkg-reconfigure locales does not work, at least the usual menu to choose the locales does not appear.
So you have to manually edit the file /var/lib/locales/supported.d/local and add the needed locales:
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After that you can run dpkg-reconfigure locales and your new locales will be created.