E.g., on the bash command line I can type a δ character using the Compose key and an ad hoc ~/.XCompose file, but if I try to do the same in Gnuplot what I get is
13:48 boffi@debian:~ $ δ
bash: δ: command not found
13:48 boffi@debian:~ $ gnuplot
G N U P L O T
Version 5.2 patchlevel 6 last modified 2019-01-01
Copyright (C) 1986-1993, 1998, 2004, 2007-2018
Thomas Williams, Colin Kelley and many others
gnuplot home: http://www.gnuplot.info
faq, bugs, etc: type "help FAQ"
immediate help: type "help" (plot window: hit 'h')
Terminal type is now 'qt'
gnuplot> δ
The best answer will teach me how to make Gnuplot accept Unicode characters, a good answer will explain why Gnuplot does not accept Unicode characters.
13:53 boffi@debian:~ $ env | grep LANG
LANG=C.UTF-8