I find in the new C++ Standard
2.11 Identifiers [lex.name] identifier: identifier-nondigit identifier identifier-nondigit identi
This article https://www.securecoding.cert.org/confluence/display/seccode/PRE30-C.+Do+not+create+a+universal+character+name+through+concatenation works with the idea that int \u0401; is compliant code, though it's based on C99, instead of C++0x.
int \u0401;