Hi,
SQLyog is not a .NET program and thus does not use Mono (MONO is .NET ported to Unix). You may install fonts in Wine, but it does not seem to help either. We checked the same with Notepad++ which is a Windows only program as well and it seems to respond in a similar way. We suspect it is a bug in wine and we have reported the issue. You can find the issue reported here.
We cannot assure a fix for this as it is works fine in native Windows environment and is related to internals of how wine deals with fonts.
Regards,
Sibin