If you're using offline installers, a lot of games have to be downloaded with the appropriate language version. This can be done by selecting the chosen language on the game page. I don't own F:NV on GOG, so I can't tell you whether this is possible for this game as well, but check the screenshot to see how to do it. You can easily change the language with Galaxy however. It will allow you to change the language without redownloading the whole game. You don't need to use Galaxy after you do this. It's your call. :)

I hope this helps :)

EDIT You can't see because it won't let me upload it, but the way I got to this page was just going to Account > Games > Search > Fallout New Vegas > Click on FONV > the language select is near the top, as in my picture.

Have a great day!