Selecting a Language in macOS
Unlike Windows, where the user selects a language from the application, in macOS the user selects the language(s) for the system itself and all applications in System Preferences > Language & Region. You add languages with the plus button ("+") and then drag them so they are in order of preference. macOS uses the first language on that list that is also supported by the application.
Note that programs (including Tunnelblick and even Finder) do not change their language until the next time they are launched after making a change in System Preferences > Language & Region. So you should quit Tunnelblick and relaunch it after making changes.