Not without writing your own method.
The days of the week are hardcoded in English in lubridate:::wday.numeric
labels <- c("Sunday", "Monday", "Tuesday", "Wednesday",
"Thursday", "Friday", "Saturday")
You could tweak the code from my answer here and replace the English names with names in the language of your choice.
# assuming x is your Date
c("Sunday", "Monday", "Tuesday", "Wednesday", "Thursday",
"Friday", "Saturday")[as.POSIXlt(x)$wday + 1]
Edit:
Here is a version that more closely matches lubridate
labels <- c("dimanche", "lundi", "mardi", "mercredi", "jeudi", "vendredi", "samedi")
ordered(as.POSIXlt(x)$wday + 1, levels=1:7, labels=labels)