I can reproduce the issue with:

$ LC_ALL=xxx ./python -m test test_c_locale_coercion -m test_PYTHONCOERCECLOCALE_set_to_one -v
(...)
======================================================================
ERROR: test_PYTHONCOERCECLOCALE_set_to_one (test.test_c_locale_coercion.LocaleCoercionTests)
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Traceback (most recent call last):
  File "/home/vstinner/python/master/Lib/test/test_c_locale_coercion.py", line 410, in test_PYTHONCOERCECLOCALE_set_to_one
    loc = locale.setlocale(locale.LC_CTYPE, "")
  File "/home/vstinner/python/master/Lib/locale.py", line 610, in setlocale
    return _setlocale(category, locale)
locale.Error: unsupported locale setting
(...)