NOBODY KNOWS. It's never really stated where the series takes place or what country it's in. Though it's a Japanese series and everyone has Japanese names and Saionji uses a katana, all the mythology is classical British/French and nobody LOOKS Japanese

derp

So I'm going to default that she's bilingual in Japanese and English :V

*e* On the advice of Xen, probably going with Japanese and French, and more like a weird JapanFrench, given that Utena uses a lot of gratuitous French.