I've bought The Elder Scrolls V: Skyrim in german store. Whole game use german language. But some time ago I've bought GTA: Episodes from Liberty City and I changed language in the menu. But how to do it in Skyrim?
It seems that this isn't possible on the Xbox 360.
There have been a few posts from users in South American countries concerning something similar.
There is speculation that the language is actually on the disc but remains inactive. Bethesda has not officially commented on any of this though.
Hope this helps.