WoW 1.12 doesn't support unicode, you have to change your system locale to cyrillic in order to use cyrillic characters. Can be done in regional settings or just use AppLocale sofware (
http://www.microsoft.com/en-us/download ... x?id=13209) to create a special launcher for wow, that will change it's locale without changing it system-wide.
Might need to add some unicode fonts too, not sure.
I would advise against using special characters in nicknames tho - people won't be able to write your nickname leading to various problems (like trouble getting and invite to a group).
Set of allowed characters for player names afaik is controlled on login server (server side), thus if Nostalrius admins decide one day to exterminate commies, they can
Name of player in screenshot is 3 cyrillic letters (phonetic equivalent of letter ж in english is "zh").