You want to look at xmodmap, which can be configured for Unicode keycodes I believe. It will assign any keystroke to any X key (including whatever Ctrl/Meta/Shift combinations you're comfortable with).
The U+ prefix just indicates that you have a Unicode character, rather than any other multi-byte character. You can't type it in as you would under Windows.
This may help, but doesn't mention Unicode (you'll have to google for that):
http://www.tldp.org/HOWTO/Intkeyb/index.html