If you are using JuiceboxBuilder-Pro to enter your image titles and captions, then you should be able to enter either ü (copy and paste the actual character) or ü (on the 'Images' tab) and both should work fine. (I've just checked this myself and it works for me.)
If you are editing your gallery's 'config.xml' file manually in a plain text editor and are using ü, be sure to use CDATA tags (<![CDATA[ ... ]]>) within your <title> or <caption> tags (incidentally, Juicebox does not support <comment> tags). CDATA tags are not required if you just use the ü character directly (but it would be good practice to just always use CDATA tags anyway, as JuiceboxBuilder-Pro does).
For example, the following image titles should work fine.
<title><![CDATA[ü]]></title>
<title><![CDATA[ü]]></title>
... but the following image title will not work:
I hope this helps.