If you are on windows, this trick worked for me recently:

C:\test>perl -wle"open O, qq[| perl -pe1 > \"è or å,ä,ö\" ]; print O f
+or 1..10"

C:\test>type "è or å,ä,ö"
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[download]

Not a great demo, but the basic idea is to use cmd.exe, which unlike perl these days, knows how to handle wide char sets, to create the file (assuming you looking to create it, not read a pre-existing file).

If you're looking to read a pre-existing file you can do a similar trick using the read-from version of the piped open:

C:\test>perl -we"open O, qq[ type \"è or å,ä,ö\" | ]; print while <O>"
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[download]