Posting this in the hope it might be useful to others, as I could find very little info anywhere. If you want to use a Welsh locale and have the suitable language support installed, you pass 'cym' (abbreviated form of Cymraeg) to setlocale:
<?php
setlocale(LC_TIME, 'cym');
$welsh= gmstrftime("%A, %B %Y - %H:%M",time());
echo $welsh;
?>
The above certainly applies to Windows systems, but should also apply to Unix if the required support is installed.
Cheers,
Bryn.