I remember we spoke about this at work and picked "Lendemain de Noël" as a translation because the majority of us said that naturally and an app we use translated it as so.
However, if we check the homepage (https://www.joursferies.fr/) when it comes to France it's indeed translated as Saint-Étienne too there. Since these regions in France are close to Luxembourg, I thought that day had the same name.
So you're right, Saint-Étienne is the proper term in France.
I'm sorry for the mistake!
For the fr locale we should definitely translate it as "Saint-Étienne"
However for fr_lu I'd change it into "Deuxième jour de Noël" as it seems it's the official term there
Update the French translation for Second Christmas Day for Luxembourg and Canada.
Credits to @Arkounay for his insights on this.
Quote from https://github.com/azuyalabs/yasumi/pull/188#issuecomment-598901208: