Finally a solution exists, its name is AutoHotkey.
I wrote myself an AutoHotkey script like below. You have just to release Ctrl (and on US keyboard layouts or on numpads also Shift) after pressing "u" and finally press Ctrl again to insert the character:
^+u::
SendInput, u
Input, num, V L5,{LControl}{RControl}
SetFormat, IntegerFast, Hex
len:=strlen(num)+1
Send, {bs %len%}{U+%num%}
Return
Some additional information can be found in this thread on AutoHotkey forum or in AutoHotkey manual.