I posted some comments about failure of using images (or fallback images in TeX filter, asciimathml or latexmathml) in dropdown lists (IE,Opera,Safari) to http://moodle.org/mod/forum/discuss.php?d=123806 - FF rules here again...
About adding any unicode characters to these drop down lists we have that Enrique's unicode picker plugin (Insert Special Character) for HTMLArea http://moodle.org/mod/forum/discuss.php?d=20864 and I am planning to create an extended unicode picker or a modified virtual keyboard plugin for tinymce later too (August) - there is already one such (russian version) available but it should probably be a "moodle version"...
The main problem with unicode is that all fonts and all browsers do not show all unicode characters...but you can't use images instead of missing characters either for IE,Opera or Safari in dropdown lists...