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)
