I landed on this page while in search of a managed alternative to calling FormatMessage through P/Invoke.
As others have said, there is no way to get those capitalized, underscored names, short of looking them up in winerror.h, which I have seen reproduced online in various places where I landed in the course of searching for information about resolving specific status codes. A quick Google search, for winerror.h, itself, uncovered a page, at Rensselaer Polytechnic Instutute, where someone has helpfully extracted the #define statements from it.
Looking at it gave me an idea; I think there may be a way to get there, working from the source code of winerror.h, which I have, as part of the Windows Platform SDK that ships with every recent version of Microsoft Visual Studio.
Right now, I am in the middle of sorting out a pressing issue in the .NET assembly that brought me to this page. Then, I'll see what I can cobble together; this kind of challenge is right up my alley, and somebody threw down a gauntlet.