Here is my current implementation:
public static class UnicodeStringExtensions
{
    public static string EncodeNonAsciiCharacters(this string value) {
        var bytes = Encoding.Unicode.GetBytes(value);
        var sb = StringBuilderCache.Acquire(value.Length);
        bool encodedsomething = false;
        for (int i = 0; i < bytes.Length; i += 2) {
            var c = BitConverter.ToUInt16(bytes, i);
            if ((c >= 0x20 && c <= 0x7f) || c == 0x0A || c == 0x0D) {
                sb.Append((char) c);
            } else {
                sb.Append($"\\u{c:x4}");
                encodedsomething = true;
            }
        }
        if (!encodedsomething) {
            StringBuilderCache.Release(sb);
            return value;
        }
        return StringBuilderCache.GetStringAndRelease(sb);
    }
    public static string DecodeEncodedNonAsciiCharacters(this string value)
      => Regex.Replace(value,/*language=regexp*/@"(?:\\u[a-fA-F0-9]{4})+", Decode);
    static readonly string[] Splitsequence = new [] { "\\u" };
    private static string Decode(Match m) {
        var bytes = m.Value.Split(Splitsequence, StringSplitOptions.RemoveEmptyEntries)
                .Select(s => ushort.Parse(s, NumberStyles.HexNumber)).SelectMany(BitConverter.GetBytes).ToArray();
        return Encoding.Unicode.GetString(bytes);
    }
}
This passes a test:
public void TestBigUnicode() {
    var s = "\U00020000";
    var encoded = s.EncodeNonAsciiCharacters();
    var decoded = encoded.DecodeEncodedNonAsciiCharacters();
    Assert.Equals(s, decoded);
}
with the encoded value: "\ud840\udc00"
This implementation makes use of a StringBuilderCache (reference source link)