Yes! No problems!
Read about SQLyog and character sets here.
Also if the names of database objects use characters that are not available on your keyboard (example: object names are using French and Spanish characters that are not available on an English keyboard) you can double-click on the object in the Object Browser and the name - no matter what language it is - is pasted into the SQL-pane. Thus you will be able to write SQL making use of those object names.