Filenames pass through
JFile::makeSafe() which strips everything except latin chars and numbers. Docs here (Good article in Russian language - here) . This is in the core and is not possible to be overridden AFAIK.
You can modify Joomla core provided you are ABSOLUTELY sure that only valid unicode filenames will be used and your server is OK with them. Also you should be aware of any future core updates.
You have to comment the following row in
\libraries\joomla\filesystem\file.php (row 90 in J!3.4.1):
$file['name'] = JFile::makeSafe($file['name']);
or you can substitute it with an appropriate
preg_replace - see here for samples.
Also you have to comment following
if statement in the same function:
if (!MediaHelper::canUpload($file, $err))
or to find some proper substitution for it.
After that uploading of files with unicode filenames is open to you.
The questions - What to do with them?, and Will all work after that? are different case. I am answering to your question only. Shortly - do not do it. Find some third party extension which can suit you.