Oracle to T-SQL OPENQUERY special character conversion issues
The solution was to change the NLS_LANG value in the registry to "AMERICAN_AMERICA.US7ASCII" because of reasons described in these answers:


If we have US7ASCII characterset why does it let us store non-ascii characters?
difference between NLS_NCHAR_CHARACTERSET and NLS_CHARACTERSET for Oracle


Now the characters are coming through correctly.

Thanks @wernfried-domscheit !