Unfortunately, U+366 (COMBINING LATIN SMALL LETTER O) is not an alphabetic character. It is a non-spacing mark, unicode category Mn, which generally maps to the Posix ctype cntrl.
Roughly speaking, an alphabetic grapheme is an alphabetic character possibly followed by one or more combining characters. It's possible to write that as a regex pattern if you have a regex library which implements Unicode general categories. Gnu grep is usually compiled with an interface to the popular pcre (Perl-compatible regular expression) library, which has reasonably good Unicode support. So if you have Gnu grep, you're in luck.
To enable "perl-like" regular expressions, you need to invoke grep with the -P option (or as pgrep). However, that is not quite enough because by default grep will use an 8-bit encoding even if the locale specifies a UTF-8 encoding. So you need to put the regex system into "UTF-8" mode in order to get it to recognize your character encoding.
Putting all that together, you might end up with something like the following:
grep -Po '(*UTF8)(\p{L}\p{M}*|\p{N})+|[\p{P}\p{S}]'
-P patterns are "perl-compatible"
-o output each substring matched
(*UTF8) If the pattern starts with exactly this sequence,
pcre is put into UTF-8 mode.
\p{...} Select a character in a specified Unicode general category
\P{...} Select a character not in a specified Unicode general category
\p{L} General category L: letters
\p{N} General category N: numbers
\p{M} General category M: combining marks
\p{P} General category P: punctuation
\p{S} General category S: symbols
\p{L}\p{M}* A letter possibly followed by various combining marks
\p{L}\p{M}*|\p{N} ... or a number
More information on Unicode general categories and Unicode regular expression matching in general can be found in Unicode Technical Report 18 on regular expression matching. But beware that the syntax described in that TR is a recommendation and is not exactly implemented by most regex libraries. In particular, pcre does not support the useful notation \p{L|N} (letter or number). Instead, you need to use [\p{L}\p{N}].
Documentation about pcre is probably available on your system (man pcre); if not, have a link on me.
If you don't have Gnu grep or in the unlikely case that your version was compiled without pcre support, you might be able to use perl, python or other languages with regex capabilites. However, doing so is surprisingly difficult. After some experimentation, I found the following Perl incantation which seems to work:
perl -CIO -lne 'print $& while /(\p{L}\p{M}*|\p{N})+|[\p{P}\p{S}]/g'
Here, -CIO tells Perl that input and output in UTF-8, and -nle is a standard incantation which means "automatically output new**l**ines after a print; loop through every li**n**e of the input, **e**xecuting the following in the loop".