Java uses UTF-16 encoding in memory for String objects. Characters in the Basic Multilingual Plane are represented as a single 16-bit character in memory, but anything outside the BMP is represented as a sequence of 2 16-bit characters. Clojure's \u<hex number> syntax can only be used to directly represent a 16-bit character.
To represent characters outside the BMP, you can either use two \u<hex number> sequences, doing the UTF-16 encoding yourself by hand, or you can use a Java function like (Character/toChars 0x20000) to get a Java array of characters for Unicode code point 0x20000, or (String. (Character/toChars 0x20000)) to get a string.
Andy