The file system encoding is, in many cases, an inherent property of the operating system. It cannot be changed — if, for some reason, you need to create files with names encoded differently than the filesystem encoding implies, don't use Unicode strings for filenames. (Or, if you're using Python 3, use a bytes object instead of a string.)
See the documentation for details. In particular, note that, on Windows systems, the file system is natively Unicode, so no conversion is actually taking place, and, consequently, it's impossible to use an alternative filesystem encoding.