I know this is an old thread but as the previous reply was less than helpful and there is a genuine need for localized filenames (my client has his whole huge library of documents named in Russian) I believe that I could share the experience here.
This particular issue (conversion of non-latin characters into "Y"s is fixed by setting in
(found in /administrator/components/com_k2/lib/)
On the line 1251 there is a configurable variable, which is by default set to true. Set it to false for K2 to stop renaming your files
$this->file_safe_name = false;