The answer here is you're screwed. They are using a non-standard encoding for XML, but what if they really want the literal \U2026? Let's say you add a decoder to handle all \UXXXX and \uXXXX encodings. What happens when another feed want the data to be the literal \U2026?
You're first choice and best bet is to get this feed fixed. If they need to encode data, they need to use proper HTML entities or numeric references.
As a fallback, I would isolate the decoder away from the XML parser. Don't create a non-conforming XML parser just because your getting non-conforming data. Have a post processor that would only be run on the offending feed.
If you must have a decoder, then there is more bad news. There is no built in decoder, you will need to find a category online or write one up yourself.
After some poking around, I think Using Objective C/Cocoa to unescape unicode characters, ie \u1234 may work for you.