Sorry about that. I'm more used to the dialect of Regex used by Sigil which does accept \u to convert to one character to upper case.
According to a post by Kovid Goyal, calibre does not support \u and you will need to use function mode:
https://manual.calibre-ebook.com/function_mode.html which is considerably more complex.
Yet another reason that I use both calibre's ebook-editor and Sigil. They both offer capability that the other does not.