I ran a quick test using the characters you provide and was able to get everything to display correctly on H2O-3 version 3.20.0.8 and python 3.5 so hopefully newer versions also work.
In [7]: dd = ["Tässä vähän tekstiä åäö"]
In [8]: h2o.H2OFrame(dd)
Parse progress: |█████████████████████████████████████████████████████████████████████████████| 100%
Out[8]:
C1
-----------------------
Tässä vähän tekstiä åäö
[1 row x 1 column]
I also created a csv with the string as the first cell and it seemed to display correctly.
In [12]: hhf = h2o.import_file('Scandinavians.csv', header=-1)
Parse progress: |████████████████████████████████████████████████████████████████████████████| 100%
In [13]: hhf
Out[13]:
C1 C2 C3 C4
------ ----- ------- ----
Tässä vähän tekstiä åäö
[1 row x 4 columns].
(If these code snippet's don't help I can try to update my response)