They're called "insults", you can enable/disable them with Defaults insults (this is done for us in /etc/sudoers.d/insults).
They're compiled in, to change them, get the sudo sources, edit and recompile.
Likely, get the sudo-git or sudo-hg AUR package, do what you like, rebuild and install.
makepkg will be your friend. Any arising problems will be yours to keep LOL.
Relevant files in plugins/sudoers/ins_*.
Disclaimer: I never tried, but I think this is the way.
Read https://www.sudo.ws/ and Where are sudo's insults stored? - Ask Ubuntu.
Worth the trouble? I don't know, when I was young I used to edit command.com in ms-dos debug to put all sort of nonsense in the error messages and then spread it on my school computers.
Fun fact: when I'm upset I vent my anger setting questionable passwords (I'm weird, I know).
Once I typed it wrong and it told me "He's not the Messiah, he's a very naughty boy!".