The C# language supports this with escapes:
var str = "\u0030More text";
But that isn't available in VB.NET. Beware that you almost certainly don't want to use Chr(), that is meant for legacy code that works with the default code page. You'll want ChrW() and pass the Unicode codepoint.
You're specific example is not a problem, &H0030 is the code for "0" so you can simply put it directly in the string literal.
Dim str As String = "0MoreText"
You can use the Charmap.exe utility to copy and paste glyphs that don't have an easy ASCII code.