In Office 365, every user can change their preferred language through the Office 365 settings.
Except when you are a synced user.
For synced users (your on-premise AD account is synced to Office 365), the language set in the on-premise AD will be used in Office 365 as well. With no way to change the language in Office 365.
Even if you would want to force it with PowerShell, you would get an exception.