Actually, windows and linux both support multiple keyboard layouts, including several with non-Roman characters such as Cryllic or Arabic. You can use those keyboards/keyboard layouts with almost any edition of Windows or linux, and if you also get the language-specific edition of windows or install the right linux packages and set the right configuration options, the operating system itself will use that language (and those alphabets) for screen output.
I know on Windows, you can get this far "out of the box" by purchasing the right language edition. I also believe there are linux distributions that come set up this way at install time, or will set themselves up this way if you choose the right language and layout during the installation.
At this point, however, the commands themselves are still mainly in English. The good news is that both Windows and Linux also support command aliases, such that you can set up locale-specific commands that use your local alphabet and language and call the english language equivalent behind the scenes (you will never see the english letters on the screen).
I don't believe Windows will do this for you out of the box. There might be a linux distribution or two that does this in advance (perhaps somewhere out of china). I'm not aware of one specifically, but I wouldn't be surprised to hear it exists. In either system, it would be possible (easy, even) to have a script prepared to quickly set up the language-specific aliases. Such a script would likely take less than a second to run, if you wanted to distribute this widely or have it run automatically in certain cases.
One final thing to keep in mind here is that, while undeniably Roman-alphabet, many of the commands you see in linux and windows are not English-language, but rather cryptic abbreviations of English words that only make sense to those hackers with the scraggliest of beards. This can make direct translation of certain commands to other languages especially problematic.