Yes always, because people tend to share links mostly with people speaking the same language. Especially distinction like en-US and en-GB will less likely alienate visitors. In special cases the same product or service may have different names in different languages.
Should URLs be in local language?
It's fine to use localized words in the URL, or to use an Internationalized Domain Name (IDN). However, be sure to use UTF-8 encoding in the URL (in fact, we recommend using UTF-8 wherever possible) and remember to escape the URLs properly when linking to them.
Do URLs have to be in English?
And if your site is available in multiple languages, use the appropriate language in URLs for content in that language. So to sum it up, yes, non-English words and URLs are fine, [and] we recommend using them for non-English websites.
What should be included in a URL?
A URL is an address on the internet. It's made up of a protocol, domain name, and a path. The protocol is how the browser gets the information about that page, either http:// or https:// (“s” stands for secure). The subdomain is the part of the domain that comes before the main “root” domain.