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What is the rule of initialism for names starting with digraph that is usually considered as a single letter?

For instance, some non-Latin single letter transcribes to a digraph (e.g., Russian: Yu in Юрий->Yuri, Chinese: Zh in Zhang, etc.). Should I use the first letter or the whole string corresponding the single letter?

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Generally the initialism will use single initials, even if that initial represents a different sound.

However, if the foreign language has a different rule, then one might borrow the abbreviated form from that language. If you choose to do so, then it's a matter of the rules of that language, not of English.

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