Blitzkrieg supports English and German. But how can I change the language. I couldn't find an option. :(

I asked myself the same question, and I saw we have the choice when installing the game: we can tick on or off the boxes German or English before the place where we can change the installation path.

There is no switch afterward, because it uncompresses only the right file into:
C:\(installation folder)\Blitzkrieg Anthology\Blitzkrieg\Run\data
And it uncompressed the file: BK1_loca_englisch.pak for English...
and perhaps some other files less meaningfull, such as dll files?....

If you want another language, I guess you must re-install the game and change the settings in the installation window at start.