calendar-day-header-array is a variable defined in `calendar.el'.
Its value is
["Su" "Mo" "Tu" "We" "Th" "Fr" "Sa"]

Array of strings to use for the headers of the calendar's day columns.
The order should be the same as in `calendar-day-name-array'.
In use, the calendar truncates elements to no more than
`calendar-day-header-width' columns wide.
Emacs constructs the default from either `calendar-day-name-array'
(if `calendar-day-header-width' is more than `calendar-abbrev-length'),
or from `calendar-day-abbrev-array' (assuming that the abbreviated
name are more likely to be unique when truncated).

You can customize this variable.

This variable was introduced, or its default value was changed, in version 24.4 of Emacs.