Actually, it looks like there is support to UTF-8:
___________________________________
You need to do two steps to convert ASCII or EBCDIC data to UTF-8:

Use the function NATIONAL-OF to convert the ASCII or EBCDIC string to a 
national (UTF-16) string.
Use the function DISPLAY-OF to convert the national string to UTF-8.
___________________________________
This is from Enterprise COBOL for z/OS Version 5.1 documentation and there is N 
type.

ZA

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