Change login error messages? Cookie error message

This text is hardcoded in wp-login.php file (line 886):

$user = new WP_Error( 'test_cookie', sprintf( __( '<strong>ERROR</strong>: Cookies are blocked or not supported by your browser. You must <a href="https://wordpress.stackexchange.com/questions/305983/%s">enable cookies</a> to use WordPress.' ),
                __( 'https://codex.wordpress.org/Cookies' ) ) );

and as you can see, there is no filter used to generate it… Almost no filter. Why almost? Because it is translated and that means that you can use gettext filter to modify it.

function my_change_cookies_disabled_error( $translated_text, $text, $domain ) {
    $default="<strong>ERROR</strong>: Cookies are blocked or not supported by your browser. You must <a href="https://wordpress.stackexchange.com/questions/305983/%s">enable cookies</a> to use WordPress.";

    if ( $translated_text == $default ) {
        $translated_text = __( '<strong>ERROR</strong>: My error message', 'my_text_domain' );
    }

    return $translated_text;
}
add_filter( 'gettext', 'my_change_cookies_disabled_error', 20, 3 );