NLS_LANG cannot be changed by ALTER SESSION, NLS_LANGUAGE and NLS_TERRITORY can. However NLS_LANGUAGE and /or NLS_TERRITORY cannot be set as "standalone" parameters in the environment or registry on the client.
Evidently the "right" solution is, before logging into Oracle at all, setting the following environment variable:
export NLS_LANG=AMERICAN_AMERICA.UTF8
This can be done via EnvInject plugin in the following way:
Create an "Execute shell" build step that runs:
echo AOEU=$(echo aoeu) > propsfile
Create an Inject environment variables build step and set "Properties File Path" to 'propsfile'.