Sun Java 6 only provides support for a limited subset of locales. The vector of support for formatting classes/writing systems/etc. is listed in the JDK documentation.
Now, I haven't done this, but...
You can plug in support for additional locales via the SPIs (described here). For example, to provide a date formatter for a new locale, you would do it by implementing a DateFormatProvider service. You might be able to do this by decorating an existing implementation - I'd have a look at the ICU4J library to see if it provides the support you want.