"\u" string converter. Reference: https://msdn.microsoft.com/en-us/library/aa664669(v=vs.71).aspx

unicode_escape_string.lua

local s = [[Hello\u003F World\u0021]]
-------------------------------------------------------------------------------
local string = string
local char, format, gmatch, gsub, sub = string.char, string.format, string.gmatch, string.gsub, string.sub
local tonumber = tonumber
local UESCAPE_PATTERN = "\\u([0-9A-Fa-f][0-9A-Fa-f][0-9A-Fa-f][0-9A-Fa-f])"
-- Converts a fully uescaped string back to normal.
function string:from_uescape()
    local out = ""
    for i = 1, #self, 6 do
        out = out .. char(tonumber(sub(self, i + 2, i + 5), 16))
    end
    return out
end
-- Converts only portions of given uescaped string back to human readable one. Second return value is number/count of replacements made.
function string:from_uescape_parts()
    return gsub(self, UESCAPE_PATTERN, function(uescape)
        return char(tonumber(uescape, 16))
    end)
end
-- Converts a given string to uescaped one.
function string:to_uescape()
    local out = ""
    for i = 1, #self do
        out = out .. format("\\u%.4X", sub(self, i, i):byte())
    end
    return out
end
-- Returns an array of uescape matches that are converted back to normal in the given string.
function string:uescape_matches()
    local out = {}
    for uescape in gmatch(self, UESCAPE_PATTERN) do
        out[#out + 1] = char(tonumber(uescape, 16))
    end
    return out
end
-------------------------------------------------------------------------------
local s_uescaped = s:to_uescape()
print("uescaped:", s_uescaped)
print("uescaped from_uescape:", s_uescaped:from_uescape())
print("uescaped from_uescape_parts:", s_uescaped:from_uescape_parts())
print("from_uescape_parts:", s:from_uescape_parts())
for _, m in next, s:uescape_matches() do
    print(m)
end