So, how do you produce a capital Ä, Ö, or Ü on a UK keyboard?
The French tend not to put diacritics on capitals unless the orthographic value of doing so is particularly valuable (i.e its rare in common usage, except in a formal typographic environment where they may choose to be stricter about it).
Obviously I don't know about other languages, so I'll have a little dig around for you. Hopefully there's bound to be a way.
EDIT: Actually, its very easy.... its all about order.
You start with the normal technique.... so option+u.... then you
release those keys.... then its simply shift+u .... Ü