I have found that there are already two topics (2010, 2012) raised on the forum requesting the same
Is it possible to sent books to device with filename in non-ascii characters?
add option to non-english filename...
Also I found that the main reason to not implement this feature is that some devices are FAT32 and this will be error-prone to use non ASCII. I think that better option is to warn and let power users to decide either to take risk and enable such option or not.