I haven't had a need for Unicode in Lua, but when I stumbled across some information about it, the essential story was that there is nothing stopping you from writing code to manipulate Unicode data (obviously), but there is also nothing built in to help you. All the built in string stuff is ANSI/ASCII/whatever.

However, the language Io (which often gets mentioned in the same breath as Lua, though it's quite different in some ways) has a stronger Unicode story: http://www.iolanguage.com/scm/io/docs/IoGuide.html#Unicode