Depends on which exception messages you're talking about. If you mean the query execution exceptions etc., no these are hardcoded, the reason is below. If you mean the validation exception messages, yes you can, though you need to validate the values yourself. Could you elaborate a bit which exceptions you want to localize?
The reason most exceptions are hardcoded english texts is that they shouldn't be presented to end-users. The exceptions are signals of program bugs / situations the end user can't do anything about, e.g. a concurrency conflict, FK violations etc. These exceptions shouldn't be presented to the end user, the user should be presented a helpful error message and guidance how to solve it, IF the user can even help. If the user can't do a thing about it, the user shouldn't see any exception: the application should solve it for the user.