Finally a solution exists, its name is [AutoHotkey][1].

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


  [1]: https://autohotkey.com/