I have 3 ORACLE_HOME on this server. I set NLS_ORA33 in Windows env settings, if I changed it to to wrong path I get another error:

SQL*Plus: Release 9.2.0.1.0 - Production on Tue Oct 7 07:04:32 2003
Copyright (c) 1982, 2002, Oracle Corporation. All rights reserved.
ERROR:
ORA-12705: invalid or unknown NLS parameter value specified
Enter user-name:

I think it prooves that NLS_ORA33 I set is correct.