You have to disable the seo_zenphoto plugin to allow those Cyrillic characters. That is enabled by default and strips all special chars from the name.
I would not recommend that as many older browsers (and possibly your server unless you are sure) might have problems with those in urls.
THe name of an album is the name of the folder on the file system which appears in the URL and is independent from the title. So you can use a non Cyrillic name but a Cyrillic title for your album. This is the same for all Zenphoto itemes (albums, images, Zenpage news and pages).
Also some info:
http://www.zenphoto.org/news/problems-with-albums-and-images#trouble-with-filefolder-names-containing-accented-