For an application whose messages will be translated, you must allocate a PDS for each language in which the messages might appear. For example, if you want the messages to be available in both English and Japanese, you must allocate two data sets: one to contain the English message skeletons, and one to contain the Japanese.
See z/OS MVS JCL User's Guide and z/OS MVS JCL Reference for information about allocating data sets.