Would only lock it if there was a reason that I felt unsafe, which I don't think ever happened. If there's two, then I'd say definitely not etiquette to lock it, think of how your wife would feel if she was the one on the outside. Think of it as locking the door to all the toilets rather than just the cubical.
But also if your wife is struggling, then other mums can be quite supportive while you bond over nappy changes, especially explosive ones ! I've had lovely conversations while changing babies in a room together.
I've also changed other people's babies (while mine stayed in the buggy) and fed them while they nipped to the toilet/had a little cry/sat down etc when the mum has looked like they're struggling. I'm sure some of the people on here will have hysterics at the thought.
I also once caught a baby who chose (as they do) to do their first rollover as mum turned to put the nappy in the bin.
I found a toddler group through a discussion at a changing room, and I also found a piano teacher for my older one.
The casual conversation while both mums are getting on with it can be really helpful. "No my older one didn't sleep through the night until they were 8 months. Don't worry, it isn't you." "Mine is still refusing to eat any vegetables..." etc. You find that those worries you think are your fault, most mums have them.
If she says "hi" to the other mum when she comes in, then if the mum seems happy to talk asks a question or two then a conversation starts. And if she's worried about it, no no one will be judging her for her skill in nappy changing! We've all had the wrigglers, the wee over all the clothes-then a follow up one when you're not expecting over the spare clothes, the poo up the back (and down the legs etc), found we've come out without enough spare nappies or wipes, the change then they immediately fill the new nappy as you pick them up etc