Though Windows seems to support Unicode environment variables, not all applications support them, and probably wont get that support until they are 'upgraded' to support Unicode from the ground up
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Any time I've had to define my own, I sticked with plain ascii characters a-z and 0-9, and sometimes an '_', anything else could turn up problematic in a batch file (where I use environment vars primarily).
If it's for use in your own application, and you want users to set them from the standard Windows configuration screens, I'd stick with things typable on a standard US keyboard, or else the instructions to set them could be awkward, at least.