calendar-day-abbrev-array is a variable defined in `calendar.el'.
Its value is
["Sun" "Mon" "Tue" "Wed" "Thu" "Fri" "Sat"]

Array of capitalized strings giving the abbreviated day names.
The order should be the same as that of the full names specified
in `calendar-day-name-array'. These abbreviations may be used
instead of the full names in the diary file. Do not include a
trailing `.' in the strings specified in this variable, though
you may use such in the diary file. By default, each string is
the first `calendar-abbrev-length' characters of the corresponding
full name.

You can customize this variable.

This variable was introduced, or its default value was changed, in version 24.1 of Emacs.