Gog setup says "Choose ingame" but there was no choice ingame. Maybe I'm one-eye-blind.

So I've found another way to set the language.

Open registry editor. Navigate to:
Computer\HKEY_LOCAL_MACHINE\SOFTWARE\WOW6432Node\Disney Interactive Studios\LEGOPirates\

Key: "Language Val"
HexValue: 409 (= English)
ChangeTo 407(=German)

Assumed Source for other languages (but not confirmed).
https://docs.microsoft.com/en-us/openspecs/windows_protocols/ms-lcid/a9eac961-e77d-41a6-90a5-ce1a8b0cdb9c?redirectedfrom=MSDN

Drink up piratees yoho.

Lego games usually have a separate executable that can edit this registry value automatically. Apparently that executable is missing, but you should be able to check language_setup.ini to know what the different languages' registry values are.

(according to GOGDB; I don't have the game)