Telika: Really ? I thought that steam games allowed language "identification" through the steam menu itself (library, game name, properties), outside of the game's own interfaces. And I assumed it was the lack of steam interface that prevented this selection in the gog versions of steam-friendly games.
MarkoH01: I have to apologize. I obviously was wrong in this case. I bought the game on Telltale and it only auto detects the OS here. However according to the Steam forum it's different with the Steam version (as you said - the Steam settings apply to the game language). Sorry again!
Yeah, older Telltale games only looked at the Steam config to determine which language to show and in absence of that just used the OS setting. Since you could set your prefered language with Steam the devs were simply too lazy to put a language selector into the game.
Though some games (like The Wolf among us for example) received a GOG update at a later date that contained an external language selector. You would have to check out the latest installers of the games in question to see if they have received such an update as well. You should find the language selector in the start menu after installing the game.