I believe you can do something like this:
m_selectLocale = new JComboBox(new DefaultComboBoxModel(new Vector<String>(getLocales())));
(In other words, create a new Vector by passing your ordered set to the 'add from a collection' constructor of Vector, and then use that to create your ComboBoxModel
)
UPDATE: looking at the Javadoc, looks like you can skip a step:
m_selectLocale = new JComboBox(new Vector<String>(getLocales()));
which, I believe, implicitly create a new ComboBoxModel for you.
FWIW, I think an OrderedSet (like LinkedHashSet) is a fine choice if you want to preserve insertion order of the choices. If you want to have, say, an alphabetical list of choices in your ComboBox, you may want to use an OrderedSet that uses the set members natural ordering, like TreeSet.