You can use the Unicode characters, see JMP Help
// Open Data Table: Big Class.jmp
// → Data Table( "Big Class" )
Open( "/C:/Program Files/SAS/JMPPRO/17/Samples/Data/Big Class.jmp" );
Graph Builder(
Variables( X( :weight ), Y( :height ) ),
Elements( Points( X, Y, Legend( 5 ) ), Smoother( X, Y, Legend( 6 ) ) ),
SendToReport(
Dispatch( {}, "Y title", TextEditBox, {Set Text( "\!U03C3 height" )} )
)
);

Jim