TST: Use unicode literals in string test
Follow-up of #10397. Fix some ugly unicode tests. Shall I fix followings also?
- Remove `compat.u()` completely, because the escaped literal is different from normal unicode literals internally.
- Remove `compat.callable` brought back in v3.2 ([some code](https://github.com/pydata/pandas/blob/master/pandas/core/frame.py#L2307) doesn't use `compat.callable` already)

should we change ALL usages of `u()`, not even sure how much work that would be (is it even worth it?)
 @jreback I think we should not use `u()` further, but no need to change existing impl which currently works. If OK, let me merge this.
 ok, that sounds fine. I didn't really search the docs, but if you find any reference saying to use `u()` let's clear that up.
 merge when ready
 Thanks. I found no description in the doc, but in wiki. Merging this and fix wiki.
- https://github.com/pydata/pandas/wiki/Code-Style-and-Conventions
